Pricing Bermudan Variance Swaptions Using Multinomial Trees
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Published:2019-02-28
Issue:3
Volume:26
Page:22-34
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ISSN:1074-1240
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Container-title:The Journal of Derivatives
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language:en
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Short-container-title:JOD
Author:
Zhao Honglei,Chatterjee Rupak,Lonon Thomas,Florescu Ionuţ
Publisher
Pageant Media US
Subject
Economics and Econometrics,Finance