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Numerical Valuation of Bermudan and Path-Dependent Interest Rate Derivatives via PDE Expansions
Numerical Valuation of Bermudan and Path-Dependent Interest Rate Derivatives via PDE Expansions
2012
Christoph Reisinger
Rasmus Wissmann
Keywords:
Valuation (finance)
Financial economics
Mathematical optimization
Mathematics
Interest rate derivative
Mathematical economics
path dependent
Correction
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