"Arbitrage-free discretization of lognormal forward Libor and swap rate models."

Paul Glasserman, Xiaoliang Zhao (2000)

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DOI: 10.1007/S007800050002

access: closed

type: Journal Article

metadata version: 2020-07-22

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Paul Glasserman, Xiaoliang Zhao:
Arbitrage-free discretization of lognormal forward Libor and swap rate models. Finance Stochastics 4(1): 35-68 (2000)

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