Drift-Free Simulation methods for pricing cross-market derivatives with LIBOR Market Model

  1. Fernandez, J. L.
  2. Nogueiras, M. R.
  3. Pou, M.
  4. Vazquez, C.
Book Series:
RECENT DEVELOPMENTS IN COMPUTATIONAL FINANCE: FOUNDATIONS, ALGORITHMS AND APPLICATIONS
  1. Gerstner, T (coord.)
  2. Kloeden, P (coord.)

ISBN: 978-981-4436-43-4,  978-981-4436-42-7

Year of publication: 2013

Volume: 14

Pages: 373-405

Type: Book chapter

GOOGLE SCHOLAR
Data source: WoS