Valuation of derivatives based on single-factor interest rate models

Global Finance Journal - Tập 18 - Trang 251-269 - 2007
Ghulam Sorwar1, Giovanni Barone-Adesi2, Walter Allegretto3
1University of Nottingham, Wollaton Road, Nottingham NG8 1BB, UK
2Swiss Finance Institute at the University of Lugano, Via Buffi 13,6900 Lugano, Switzerland
3Department of Mathematical and Statistical Sciences, University of Alberta, 632 Central Academic Building, Edmonton, AB, Canada T6G 2G1

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