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Volumn 10, Issue 1, 2003, Pages 49-74

A new approximate swaption formula in the LIBOR market model: An asymptotic expansion approach

Author keywords

Asymptotic expansion; LIBOR market model; Monte Carlo simulation; Swaptions; Volatility skews

Indexed keywords


EID: 0345492059     PISSN: 1350486X     EISSN: None     Source Type: Journal    
DOI: 10.1080/1350486021000029216     Document Type: Article
Times cited : (16)

References (17)
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  • 8
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    • On the pricing implications of the joint lognormal assumption for the swaption and cap markets
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