Jacobi stochastic volatility factor for the LIBOR market model
Crossref DOI link: https://doi.org/10.1007/s00780-022-00488-5
Published Online: 2022-09-19
Published Print: 2022-10
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Arrouy, Pierre-Edouard
Boumezoued, Alexandre
Lapeyre, Bernard
Mehalla, Sophian
Text and Data Mining valid from 2022-09-19
Version of Record valid from 2022-09-19
Article History
Received: 13 February 2020
Accepted: 4 April 2022
First Online: 19 September 2022