ON CASH SETTLED IRR-SWAPTIONS AND MARKOV FUNCTIONAL MODELING
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Publication:2976127
DOI10.1142/S0219024917500091zbMath1360.91138MaRDI QIDQ2976127
Hans-Peter Bermin, Gareth Williams
Publication date: 13 April 2017
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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CASH-SETTLED SWAPTIONS: A NEW PRICING MODEL, A UNIFIED MARKET MODEL FOR SWAPTIONS AND CONSTANT MATURITY SWAPS
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