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• An Efficient Lattice Algorithm For The LIBOR Market Model

  Author(s):

  Tim Xiao (see profile)

  Date:

  2020

  Group(s):

  Business Management

  Subject(s):

  Value theory, Economics

  Item Type:

  Article

  Tag(s):

  LIBOR Market Model, lattice model, asset pricing, derivatives valuation, risk management

  Search term matches:

  Title

  ... An Efficient Lattice Algorithm For The LIBOR Market Model ...

  Tag

  ... libor market model ...

  Full Text

  ... AN EFFICIENT LATTICE ALGORITHM FOR THE LIBOR MARKET MODEL Tim Xiao1 ABSTRACT The ...

  
  

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