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

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+https://doi.org/10.1080/14697681003720253
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+W1972935015
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+Average interest rate caps
@@ Property / cites work: Average interest rate caps / rank @@
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+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
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+A YIELD‐FACTOR MODEL OF INTEREST RATES
@@ Property / cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES / rank @@
+Normal rank
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+Changes of numéraire, changes of probability measure and option pricing
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+BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
@@ Property / cites work: BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES / rank @@
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+Pricing Interest-Rate-Derivative Securities
@@ Property / cites work: Pricing Interest-Rate-Derivative Securities / rank @@
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+An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
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+Path dependent options on yields in the affine term structure model
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+An equilibrium characterization of the term structure
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@@ links / mardi / name / links / mardi / name @@
+Publication:2893078