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 13563397. - Vol. 4.2000, 1, p. 35-68
|