RESEARCH PAPERS - Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models
| Year of publication: |
2012
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|---|---|
| Authors: | Papapantoleon, Antonis ; Schoenmakers, John ; Skovmand, David |
| Published in: |
The journal of computational finance. - London : Incisive Media, ISSN 1460-1559, ZDB-ID 1433009x. - Vol. 15.2012, 4, p. 3-45
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