Semi-analytical pricing of options written on SOFR futures

Fuente: arXiv

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Bibliographic Details
Main Authors:	Itkin, Andrey, Kitapbayev, Yerkin
Format:	Preprint
Published:	2024
Subjects:	Computational Finance Mathematical Finance Pricing of Securities
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2409.04903