Numerical solution of jump-diffusion LIBOR market models
Work
Year: 2003
Type: article
Source: Finance and Stochastics
Authors Paul Glasserman, Nicolas Merener
Institution Columbia University
Cites: 27
Cited by: 81
Related to: 10
FWCI: 4.747
Citation percentile (by year/subfield): 91.66
Subfield: Finance
Domain: Social Sciences
Open Access status: closed