Term structure movements implicit in Asian option prices
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Publication:2893078
DOI10.1080/14697681003720253zbMath1241.91109OpenAlexW1972935015MaRDI QIDQ2893078
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Publication date: 25 June 2012
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697681003720253
asset pricingaffine term structure modelsfinancial econometricsempirical financefixed income derivatives
Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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