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Interest-Rate Option Pricing Accounting For Jumps At Deterministic Times
The short rate is central in the context of interest-rate markets as well as broader finance. As such, accurate modelling of this rate is of particular importance in the pricing of interest-rate options, especially during times of high volatility where increased demand is seen for simpler and lower...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2022
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