Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case
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Volume (Year): 13 (2010)
Issue (Month): 2 (July)
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- Damir Filipovic, 2001. "A general characterization of one factor affine term structure models," Finance and Stochastics, Springer, vol. 5(3), pages 389-412.
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