Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model
Year of publication: |
2000-03-01
|
---|---|
Authors: | Dunn, Tim ; Schlögl, Erik ; Barton, Geoff |
Institutions: | Finance Discipline Group, Business School |
Subject: | term structure of interest rates | hedging | simulation | lognormal forward LIBOR model |
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