Pricing CIR Yield Options by Conditional Moment Matching
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DOI: 10.1007/s10690-017-9222-5
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References listed on IDEAS
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Cited by:
- F. Antonelli & A. Ramponi & S. Scarlatti, 2021.
"CVA and vulnerable options pricing by correlation expansions,"
Annals of Operations Research, Springer, vol. 299(1), pages 401-427, April.
- Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2018. "CVA and vulnerable options pricing by correlation expansions," Papers 1811.07294, arXiv.org.
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Keywords
CIR model; Asian options; Asian caps; Conditional moment matching; Stratified approximation;All these keywords.
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