Stromberg, Jacob; Leippold, Markus (2012). Time-Changed Levy LIBOR Market Model for the Joint Estimation and Pricing of Caps and Swaptions. SFI Research Paper Series 12-23, Swiss Finance Institute.
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| Item Type: | Working Paper |
|---|---|
| Communities & Collections: | 03 Faculty of Economics > Department of Banking and Finance |
| Dewey Decimal Classification: | 330 Economics |
| Language: | English |
| Date: | 2012 |
| Deposited On: | 04 Mar 2014 13:55 |
| Last Modified: | 30 Jul 2020 13:01 |
| Series Name: | SFI Research Paper Series |
| OA Status: | Green |
| Free access at: | Official URL. An embargo period may apply. |
| Official URL: | http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2065375## |
| Other Identification Number: | merlin-id:8804 |
Stromberg, Jacob