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"A bootstrapping market implied moment matching calibration for models with ..."

Florence Guillaume, Wim Schoutens (2014)

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DOI: 10.1016/J.CAM.2014.04.005

access: open

type: Journal Article

metadata version: 2021-02-16

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Florence Guillaume, Wim Schoutens:
A bootstrapping market implied moment matching calibration for models with time-dependent parameters. J. Comput. Appl. Math. 271: 100-116 (2014)

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