Arbitrage Free Pricing of Quanto Swaptions Phil J. Hunt ,Antoon Pelsser The Journal of Financial Engineering, Vol. 7, No. 1, March 1998 Mathematical foundation of convexity correction Quantitative Finance, 3(1): 59--65, 2003. Authors: A. Pelsser my email, f********[email protected] many thanks!
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date of approval.
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1. yes 2. yes, client bridge mode 3. yes 4. yes, same as 2