SORTING OUT SWAPTIONS - Demonstrating that the industry-standard Black-Scholes formula for swaption pricing is arbitrage-free.
| Year of publication: |
1996
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|---|---|
| Authors: | Jamshidian, Farshid |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 9.1996, 3, p. 59-60
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