DMCA

Fast Ninomiya-Victoir calibration of the double-mean-reverting model. 2013. Available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2210420 (2011)

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by Christian Bayer , Jim Gatheral , Morten Karlsmark
Venue:24 T. Bollerslev and
Citations:2 - 1 self