Efficient and accurate log-L\'evy approximations to L\'evy driven LIBOR models
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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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