Quantlib

swMATH27755MaRDI QIDQ39469FDOQ39469

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Source code repository: https://github.com/lballabio/QuantLib

Cited In (3)

• Implied stopping rules for American basket options from Markovian projection
• Simulation and evaluation of the distribution of interest rate risk
• Reducing transaction costs for interest rate risk hedging with stochastic programming

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