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10.1080/1350486X.2016.1243013
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Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes
Ernst Eberlein
M’hamed Eddahbi
S. M. Lalaoui Ben Cherif
Routledge
Applied Mathematical Finance, 2016. doi:10.1080/1350486X.2016.1243013
Lévy LIBOR model
fast Fourier transform
time–inhomogeneous Lévy processes
Malliavin calculus
Greeks and sensitivity analysis
Journal
Applied Mathematical Finance
© 2016 Informa UK Limited, trading as Taylor & Francis Group
1350-486X
1466-4313
23
3
236
260
10.1080/1350486X.2016.1243013
http://dx.doi.org/10.1080/1350486X.2016.1243013
VoR
2016-11-07T21:53:47+05:30
Arbortext Advanced Print Publisher 11.0.3352/W Unicode
2018-01-19T07:48:59-08:00
2018-01-19T07:48:59-08:00
Lévy LIBOR model; fast Fourier transform; time–inhomogeneous Lévy processes; Malliavin calculus; Greeks and sensitivity analysis
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