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~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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Pricing Bermudan variance swaptions using multinomial trees
Zhao, Honglei
;
Chatterjee, Rupak
;
Lonon, Thomas
; …
- In:
The journal of derivatives : the official publication …
26
(
2019
)
3
,
pp. 22-34
Persistent link: https://www.econbiz.de/10012306151
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Pricing variance, gamma, and corridor swaps using multinomial trees
Zhao, Honglei
;
Zhao, Zhe
;
Chatterjee, Rupak
;
Lonon, Thomas
- In:
The journal of derivatives : the official publication …
25
(
2017
)
2
,
pp. 7-21
Persistent link: https://www.econbiz.de/10011941214
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