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Analytical Solution of the Characteristic Function in the Trolle-Schwartz Model
In 2009, Trolle and Schwartz (2008) produced an instantaneous forward interest rate model with several stylised facts such as stochastic volatility. They derived pricing formulae in order to price bonds and bond options, which can be altered to price interest rate options such as caplets, caps and s...
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| Format: | Thesis |
| Language: | English |
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African Institute of Financial Markets and Risk Management
2020
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