Approximate option pricing in the Lévy Libor model (Q4976512)
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scientific article; zbMATH DE number 6754932
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| English | Approximate option pricing in the Lévy Libor model |
scientific article; zbMATH DE number 6754932 |
Statements
Approximate Option Pricing in the Lévy Libor Model (English)
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31 July 2017
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Libor market model
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caplet
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swaption
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Lévy Libor model
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asymptotic approximation
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0.8433284759521484
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0.8163270354270935
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0.8010360598564148
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0.7984005212783813
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0.7978593707084656
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