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The market model of interest rates specifies simple forward or Libor rates as lognormally distributed, their stochastic dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the product of a quadratic polynomial and a...
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dynamic option portfolio is characterized explicitly in terms of its expected sensitivities (Greeks) and the role of the mean … maturity, optimal state contingent option portfolios are characterized in terms of state prices Greeks as well as a new object …, the transactions costs Greeks …
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