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Arbitrage-Free Pricing of Interest-Rate Contingent Claims
Arbitrage-Free Pricing of Interest-Rate Contingent Claims This paper discusses the pricing of ... The cash flows and optional features are taken care of in the manner discussed in Section 3 of the paper ...- Authors: Elias Shiu, Application Administrator, Hal Warren Pedersen
- Date: Oct 1989
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Economic value