Term structure movements implicit in Asian option prices (Q2893078): Difference between revisions

@@ Property / cites work @@
+Average interest rate caps
@@ Property / cites work: Average interest rate caps / rank @@
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+A YIELD‐FACTOR MODEL OF INTEREST RATES
@@ Property / cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES / rank @@
+Normal rank
@@ Property / cites work @@
+Changes of numéraire, changes of probability measure and option pricing
+Normal rank
@@ Property / cites work @@
+BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
@@ Property / cites work: BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Interest-Rate-Derivative Securities
@@ Property / cites work: Pricing Interest-Rate-Derivative Securities / rank @@
+Normal rank
@@ Property / cites work @@
+An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
+Normal rank
@@ Property / cites work @@
+Path dependent options on yields in the affine term structure model
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank