CMS spread options in quadratic Gaussian model (Q2096154)
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scientific article; zbMATH DE number 7617766
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | CMS spread options in quadratic Gaussian model |
scientific article; zbMATH DE number 7617766 |
Statements
CMS spread options in quadratic Gaussian model (English)
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16 November 2022
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CMS spread
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calibration
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quadratic Gaussian model
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interest rate model
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0.8682911992073059
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0.8456552028656006
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0.8107507824897766
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0.752493679523468
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0.7427486181259155
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