Efficient pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model
Year of publication: |
2011
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Authors: | Kiesel, Rüdiger ; Lutz, Matthias |
Published in: |
The journal of computational finance. - London : Incisive Media, ISSN 1460-1559, ZDB-ID 1433009x. - Vol. 14.2011, 4, p. 37-73
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