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Multi-currency model
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A cross-currency Levy market model
Eberlein, Ernst
;
Koval, Nataliya
- In:
Quantitative Finance
6
(
2006
)
6
,
pp. 465-480
cross-currency
derivatives
. Foreign caps and floors and cross-currency swaps are studied in detail. Numerically efficient …
Persistent link: https://www.econbiz.de/10005462640
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