Modifying the LMM to Price Constant Maturity Swaps

Modifying the LMM to Price Constant Maturity Swaps

Wu, Ting-Pin, Chen, Son-Nan
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Volume:
18
Language:
english
Journal:
The Journal of Derivatives
DOI:
10.3905/jod.2010.18.2.020
Date:
November, 2010
File:
PDF, 520 KB
english, 2010
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