A Semi‐Explicit Approach to Canary Swaptions in HJM One‐Factor Model
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/13504860500117602
Reference13 articles.
1. Interest Rate Models Theory and Practice
2. Chaos and coherence: a new framework for interest–rate modelling
3. Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
4. EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL
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