A jump-diffusion Libor model and its robust calibration
Year of publication: |
2010
|
---|---|
Authors: | Belomestny, Denis ; Schoenmakers, John |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 11.2010, 4, p. 529-546
|
Publisher: |
Taylor & Francis Journals |
Subject: | LIBOR market models | American options | Monte Carlo methods | Statistical methods |
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