A swaption volatility model using Markov regime switching
Year of publication: |
2008
|
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Authors: | White, Richard ; Rebonato, Riccardo |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 12.2008, 1, p. 79-114
|
Subject: | Volatilität | Volatility | Markov-Kette | Markov chain |
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