Arbitrage-free discretization of lognormal forward Libor and swap rate models
Year of publication: |
2000
|
---|---|
Authors: | Glasserman, Paul ; Zhao, Xiaoliang |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 4.2000, 1, p. 35-68
|
Subject: | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory | Theorie | Theory |
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