Simulation of nonlinear interest rates in quantum finance: Libor Market Model
Year of publication: |
2012
|
---|---|
Authors: | Baaquie, Belal E. ; Tang, Pan |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 391.2012, 4, p. 1287-1308
|
Publisher: |
Elsevier |
Subject: | Quantum finance | Libor Market Model | Coupon bond options | Caplet | Swaptions | Monte Carlo simulation |
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