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AN EFFECTIVE APPROXIMATION FOR ZERO-COUPON BONDS AND ARROW–DEBREU PRICES IN THE BLACK–KARASINSKI MODEL
STEHLÍKOVÁ, BEÁTA, CAPRIOTTI, LUCAVolume:
17
Language:
english
Journal:
International Journal of Theoretical and Applied Finance
DOI:
10.1142/S021902491450037X
Date:
September, 2014
File:
PDF, 276 KB
english, 2014