2006•SSRN Electronic JournalOpen access

Libor Market Model and Gaussian HJM Explicit Approaches to Option on Composition

Marc Henrard

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Key concepts: Heath–Jarrow–Morton framework, LIBOR market model, Libor, Econometrics, Composition (language), Gaussian, Mathematical economics, Economics

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Libor Market Model and Gaussian HJM Explicit Approaches to Option on Composition — Research Paper | ScholarLens