SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL (Q3523595)
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scientific article; zbMATH DE number 5320144
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| English | SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL |
scientific article; zbMATH DE number 5320144 |
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SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL (English)
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3 September 2008
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term structure of interest rates
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hedging
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simulation
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lognormal forward LIBOR model
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0.7556265592575073
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0.7526568174362183
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0.7373688220977783
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0.7343257069587708
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