Calibration of the Libor market model using correlations implied by CMS spread options (Q3063876)
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scientific article; zbMATH DE number 5827271
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| English | Calibration of the Libor market model using correlations implied by CMS spread options |
scientific article; zbMATH DE number 5827271 |
Statements
Calibration of the Libor Market Model Using Correlations Implied by CMS Spread Options (English)
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15 December 2010
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LMM
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calibration
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correlation
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market analysis
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CMS spread option
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0.8431840538978577
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0.8052138090133667
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0.7997369170188904
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0.7933219075202942
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