Application of the kusuoka approximation with a tree-based branching algorithm to the pricing of interest-rate derivatives under the hjm model (Q3091998)
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scientific article; zbMATH DE number 5947719
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| English | Application of the kusuoka approximation with a tree-based branching algorithm to the pricing of interest-rate derivatives under the hjm model |
scientific article; zbMATH DE number 5947719 |
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Application of the Kusuoka approximation with a tree-based branching algorithm to the pricing of interest-rate derivatives under the HJM model (English)
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15 September 2011
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0.7883336544036865
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0.7880458831787109
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0.7454385757446289
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0.7309665083885193
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