Robust Libor Modelling and Pricing of Derivative Products (Q4666845)
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scientific article; zbMATH DE number 2153235
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Robust Libor Modelling and Pricing of Derivative Products |
scientific article; zbMATH DE number 2153235 |
Statements
Robust Libor Modelling and Pricing of Derivative Products (English)
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6 April 2005
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stability problem
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least squares calibration methods
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Bermudan derivative pricing
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log-normal approximation
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0.8241801261901855
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0.7699332237243652
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0.757256805896759
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0.7471545934677124
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