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Pricing of Asian options on interest rates in the CIR model
Dassios, Angelos
;
Nagaradjasarma, Jayalaxshmi
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London School of Economics (LSE)
-
2011
volatility. Given the versatility of the
square-root
process
, the results derived in this paper are also of value for various …
Persistent link: https://www.econbiz.de/10010746216
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