Stochastic volatility LIBOR market model and its structured deposits pricing: Theoretic estimation and Monte Carlo simulation

MA Jun-hai, ZHANG Qiang

Systems Engineering - Theory & Practice ›› 2013, Vol. 33 ›› Issue (4) : 817-828.

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Systems Engineering - Theory & Practice ›› 2013, Vol. 33 ›› Issue (4) : 817-828. DOI: 10.12011/1000-6788(2013)4-817

Stochastic volatility LIBOR market model and its structured deposits pricing: Theoretic estimation and Monte Carlo simulation

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{{article.zuoZheEn_L}}. {{article.title_en}}. Systems Engineering - Theory & Practice, 2013, 33(4): 817-828 https://doi.org/10.12011/1000-6788(2013)4-817

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