Black's model in a negative interest rate environment, with application to OTC derivatives

Riccardo Bramante, Gimmi Dallago, Silvia Facchinetti. Black's model in a negative interest rate environment, with application to OTC derivatives. Comput. Manag. Science, 19(1):25-39, 2022. [doi]

Authors

Riccardo Bramante

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Gimmi Dallago

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Silvia Facchinetti

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