Pricing range notes within Wishart affine models
Year of publication: |
2014
|
---|---|
Authors: | Chiarella, Carl ; Da Fonseca, José ; Grasselli, Martino |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 58.2014, C, p. 193-203
|
Publisher: |
Elsevier |
Subject: | Term structure models | Wishart models | Range accrual notes |
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