Matlab code for Choi & Shin (2016)
- Choi, J., & Shin, S. (2016). Fast swaption pricing in Gaussian term structure models. Mathematical Finance, 26(4), 962–982. https://doi.org/10.1111/mafi.12077
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Matlab code for Choi & Shin (2016)
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PyFE/Fast-Swaption-Matlab
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