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Cross-Currency LIBOR Market Models

Peter Mikkelsen
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Peter Mikkelsen: Department of Finance, Aarhus School of Business, Postal: Fuglesangs Allé 4, 8210 Aarhus V, Denmark

No 01-6, Finance Working Papers from University of Aarhus, Aarhus School of Business, Department of Business Studies

Abstract: ==

Keywords: LIBOR market model; Cross-currency derivatives; Simulation based pricing (search for similar items in EconPapers)
Pages: 28 pages
Date: 2001-05-21
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Citations: View citations in EconPapers (10)

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