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Journal: Risks, 2023
Volume: 11
Number: 168
Article:
A Semi-Static Replication Method for Bermudan Swaptions under an Affine Multi-Factor Model
Authors:
by
Jori Hoencamp, Shashi Jain and Drona Kandhai
Link:
https://www.mdpi.com/2227-9091/11/10/168
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