"Numerical solution of jump-diffusion LIBOR market models."

Paul Glasserman, Nicolas Merener (2003)

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DOI: 10.1007/S007800200076

access: closed

type: Journal Article

metadata version: 2020-07-22

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Paul Glasserman, Nicolas Merener:
Numerical solution of jump-diffusion LIBOR market models. Finance Stochastics 7(1): 1-27 (2003)

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