Pricing cross-currency interest rate swaps under the Lévy market model (Q2423932)
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scientific article; zbMATH DE number 7069566
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| English | Pricing cross-currency interest rate swaps under the Lévy market model |
scientific article; zbMATH DE number 7069566 |
Statements
Pricing cross-currency interest rate swaps under the Lévy market model (English)
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21 June 2019
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interest rate swap
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Lévy market
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cross-currency
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arbitrage-free pricing model
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0.882503867149353
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0.8476479649543762
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0.8202022314071655
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0.8072540163993835
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