ERRATUM: EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL

Jacques van Appel () and Thomas A. McWalter
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Jacques van Appel: Department of Statistics, Faculty of Science, University of Johannesburg, P. O. Box 524, Auckland Park, 2006, South Africa
Thomas A. McWalter: The African Institute of Financial Markets and Risk Management, University of Cape Town, Private Bag X3, Rondebosch, 7701, South Africa3Department of Finance and Investment Management, Faculty of Economic and Financial Sciences, University of Johannesburg, P. O. Box 524, Auckland Park, 2006, South Africa

International Journal of Theoretical and Applied Finance (IJTAF), 2018, vol. 21, issue 07, 1-2

Date: 2018
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DOI: 10.1142/S0219024918920024

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