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Fast and accurate analytical approximation of bond prices when short interest rates are lognormal
Hansen, Asbjørn Trolle; Løchte Jørgensen, Peter - In: The journal of computational finance 3 (2000) 3, pp. 27-45
Persistent link: https://www.econbiz.de/10001517425
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RESEARCH PAPERS - Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models
Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David - In: The journal of computational finance 15 (2012) 4, pp. 3-45
Persistent link: https://www.econbiz.de/10009993874
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Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models
Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David - In: The journal of computational finance 15 (2011/12) 4, pp. 3-44
Persistent link: https://www.econbiz.de/10009575414