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Closed-form Arrow-Debreu pricing for the Hull-White short rate model

C. Turfus
Year of publication:
2019
Authors: Turfus, C.
Subject: Arrow-Debreu | Closed-form solution | Green's function | Hull-White | Perturbation expansion | Pricing kernel | Short rate model | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Zins | Interest rate | CAPM
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