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Time-Changed Levy LIBOR Market Model for the Joint Estimation and Pricing of Caps of Swaptions

Time-Changed Levy LIBOR Market Model for the Joint Estimation and Pricing of Caps of Swaptions

AutorM. Leippold, J. Stromberg
JournalJournal of Financial Economics
Datum1. Jan. 2014
KategorieAcademic Publications
Volumevol. 111 (1), pp 224-250

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