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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

AuthorM. Leippold, J. Stromberg
JournalJournal of Financial Economics
Date1 Jan. 2014
CategoryAcademic Publications
Volumevol. 111 (1), pp 224-250

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