Efficient Pricing and Greeks in the Cross-Currency LIBOR...

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Efficient Pricing and Greeks in the Cross-Currency LIBOR Market Model

Beveridge, Christopher, Joshi, Mark S., Wright, Will M.
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Year:
2010
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.1662229
File:
PDF, 460 KB
english, 2010
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