An Exact and Efficient Method for Computing Cross-Gammas of Bermudan Swaptions and Cancellable Swaps Under the Libor Market Model
Year of publication: |
2014
|
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Authors: | Joshi, Mark S. |
Other Persons: | Zhu, Dan (contributor) |
Publisher: |
[2014]: [S.l.] : SSRN |
Subject: | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Swap | Zinsderivat | Interest rate derivative | Derivat | Derivative |
Extent: | 1 Online-Ressource (18 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 22, 2014 erstellt |
Other identifiers: | 10.2139/ssrn.2541513 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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