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Pricing caps and floors with the extended CIR model

Mannolini, Antonio et al.

Pricing caps and floors with the extended CIR model 2008 - 2008 - 386-400 V. 13 Issue. 4

Subjects--Topical Terms:
Finance

Subjects--Index Terms: Interest rates;Caps and floors;Spot rate models;Derivatives;Yield curve;Extended CIR model;

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