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INTERPOLATION SCHEMES IN THE DISPLACED-DIFFUSION LIBOR MARKET MODEL AND THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS CHRISTOPHER BEVERIDGE AND MARK JOSHI Abstract. We introduce a new arbitra
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Document Date: 2013-08-05 02:19:33
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INTERPOLATION SCHEMES IN THE DISPLACED-DIFFUSION LIBOR MARKET MODEL AND THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS CHRISTOPHER BEVERIDGE AND MARK JOSHI Abstract. We introduce a new arbitra