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Negative Rates: New Market Practicen be used as input to the Bachelier pricing formula. Together with the current forward value and the time to maturity this leads to prices of European Call and Put options..We have to stress the fact that the approximation formulae can serve for calibration purposes where fast calculation of prices
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查看完整版本: Titlebook: Novel Methods in Computational Finance; Matthias Ehrhardt,Michael Günther,E. Jan W. ter Ma Book 2017 Springer International Publishing AG