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Keywords: Range Notes
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2004) 12 (2): 157–179.
Published: 30 November 2004
... and applies a quite general type of a positive martingale process to pricing interest rate derivatives such as swaptions and range notes in the incomplete market setting. Such interest rate derivatives are hard to find analytic solutions. Consequently, this paper shows that such a choice of the positive...
