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]
@article{BramanteDF22,
title = {Black's model in a negative interest rate environment, with application to OTC derivatives},
author = {Riccardo Bramante and Gimmi Dallago and Silvia Facchinetti},
year = {2022},
doi = {10.1007/s10287-021-00408-6},
url = {https://doi.org/10.1007/s10287-021-00408-6},
researchr = {https://researchr.org/publication/BramanteDF22},
cites = {0},
citedby = {0},
journal = {Comput. Manag. Science},
volume = {19},
number = {1},
pages = {25-39},
}