GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange Volatility Skew Model
Year of publication: |
2011
|
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Authors: | Dang, Duy-Minh |
Other Persons: | Christara, Christina (contributor) ; Jackson, Kenneth R. (contributor) |
Publisher: |
[2011]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Wechselkurs | Exchange rate | Zinsderivat | Interest rate derivative | Welt | World | Devisenmarkt | Foreign exchange market |
Extent: | 1 Online-Ressource (16 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 8, 2010 erstellt |
Other identifiers: | 10.2139/ssrn.1549661 [DOI] |
Classification: | E40 - Money and Interest Rates. General ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C63 - Computational Techniques |
Source: | ECONIS - Online Catalogue of the ZBW |
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