Efficient and accurate log-L\'evy approximations to L\'evy driven LIBOR models
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Cited by:
- Zorana Grbac & David Krief & Peter Tankov, 2015. "Approximate Option Pricing in the L\'evy Libor Model," Papers 1511.08466, arXiv.org, revised Jul 2016.
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This paper has been announced in the following NEP Reports:- NEP-ALL-2011-06-18 (All new papers)
- NEP-CMP-2011-06-18 (Computational Economics)
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