The effects of negative interest rates on the estimation of...

The effects of negative interest rates on the estimation of option sensitivities: The impact of switching from a log-normal to a normal model

Giribone, Pier Giuseppe, Ligato, Simone, Mulas, Martina
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Volume:
4
Language:
english
Journal:
International Journal of Financial Engineering
DOI:
10.1142/S2424786317500153
Date:
March, 2017
File:
PDF, 2.77 MB
english, 2017
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