A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions (Q4683050)

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scientific article; zbMATH DE number 6939254
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A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions
scientific article; zbMATH DE number 6939254

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    A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions (English)
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    19 September 2018
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    interest rate models
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    short rate
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    derivatives
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