Valuation of CMS range notes in a multifactor LIBOR market model
Year of publication: |
March 2016
|
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Authors: | Wu, Ping ; Elliott, Robert J. |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 3.2016, 1, p. 1-19
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Subject: | LIBOR market model | constant maturity swap | CMS range notes | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory | Swap |
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