Analytical Formulas for Pricing CMS Products in the LIBOR Market Model with the Stochastic Volatility
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Publisher
Elsevier BV
Reference22 articles.
1. Volatile volatilities;L Andersen;Risk,2002
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2. Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis;International Journal of Financial Engineering;2018-09
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