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CMS spread options
Hagan, Patrick S.
;
Lesniewski, Andrew
;
Skoufis, G. E.
; …
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1809-1824
Persistent link: https://www.econbiz.de/10012696777
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Explicit Pricing of Quadratic Derivatives Under SABR
Hagan, Patrick S.
;
Lesniewski, Andrew S.
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Skoufis, G. E.
; …
- In:
Wilmott
2019
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2019
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103
,
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Persistent link: https://www.econbiz.de/10012274288
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Digital Option Valuation With the SABR Model
Hagan, Patrick S.
;
Lesniewski, Andrew S.
;
Skoufis, G. E.
; …
- In:
Wilmott
2020
(
2020
)
107
,
pp. 52-69
Persistent link: https://www.econbiz.de/10012274335
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