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pro vyhledávání: '"Jori Hoencamp"'
Publikováno v:
Risks, Vol 11, Iss 10, p 168 (2023)
We present a semi-static replication algorithm for Bermudan swaptions under an affine, multi-factor term structure model. In contrast to dynamic replication, which needs to be continuously updated as the market moves, a semi-static replication needs
Externí odkaz:
https://doaj.org/article/b392fd166cb345a6b5d99e3339afd606
