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On pricing derivatives in the presence of auxiliary state variables

Lin,Junze and Ritchken,Peter

On pricing derivatives in the presence of auxiliary state variables 2006 - 2006 - 29 - 46 V. 14 Issue. 2

Subjects--Topical Terms:
Derivatives

Subjects--Index Terms: Security prices;Bond prices;LIBOR market model;Heath Jarrow Morton model;HJM model

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