Expected median of a shifted Brownian motion : theory and calculations
Year of publication: |
2022
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Authors: | Piterbarg, Vladimir V. |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 32.2022, 1, p. 3-45
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Subject: | arc-sine | Brownian motion with drift | fallback | fallback spread | libor adjustment spread | occupation time | OIS | percentile | RFR | risk-free rates | sonia | Theorie | Theory | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve |
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