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Linking caplets and swaptions prices in the LMM-SABR model
Rebonato, Riccardo
;
White, Richard
- In:
The journal of computational finance
13
(
2009/10
)
2
,
pp. 19-45
Persistent link: https://www.econbiz.de/10003949865
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A swaption volatility model using Markov regime switching
White, Richard
;
Rebonato, Riccardo
- In:
The journal of computational finance
12
(
2008
)
1
,
pp. 79-114
Persistent link: https://www.econbiz.de/10009534634
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