"SABR/LIBOR market models: Pricing and calibration for some interest rate ..."

Ana M. Ferreiro et al. (2014)

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DOI: 10.1016/J.AMC.2014.05.017

access: closed

type: Journal Article

metadata version: 2020-10-26

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Ana M. Ferreiro, José Antonio García-Rodríguez, José G. López-Salas, Carlos Vázquez:
SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives. Appl. Math. Comput. 242: 65-89 (2014)

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