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"Application of the Kusuoka approximation with a tree-based branching ..."

Mariko Ninomiya (2010)

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DOI: 10.1112/S146115700800048X

access: open

type: Journal Article

metadata version: 2024-03-22

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Mariko Ninomiya:
Application of the Kusuoka approximation with a tree-based branching algorithm to the pricing of interest-rate derivatives under the HJM model. LMS J. Comput. Math. 13: 208-221 (2010)

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