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Extracting Correlations from the Market: New Correlation Parameterizations and the Calibration of a Stochastic Volatility LMM to CMS Spread Options
Lutz, MatthiasYear:
2010
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.1620356
File:
PDF, 2.40 MB
english, 2010