LIBOR market model with multiplicative basis
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DOI: 10.1142/S2424786318500147
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Cited by:
- Yangfan Zhong & Yanhui Mi, 2018. "Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 1-31, September.
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Keywords
LIBOR market model; multiple-curve models/setting; LIBOR-OIS basis spread; multiplicative basis; square-root process; multi-factor model; shifted lognormal model; credit crunch;All these keywords.
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