Interpolation schemes in the displaced-diffusion LIBOR market model (Q4902227)
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scientific article; zbMATH DE number 6130656
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| English | Interpolation schemes in the displaced-diffusion LIBOR market model |
scientific article; zbMATH DE number 6130656 |
Statements
Interpolation Schemes in the Displaced-Diffusion LIBOR Market Model (English)
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25 January 2013
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LIBOR market model
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interpolation
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0.7850916385650635
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0.7795267105102539
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0.7611936330795288
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0.7590910196304321
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