Term structure movements implicit in Asian option prices
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Publication:2893078
DOI10.1080/14697681003720253zbMath1241.91109MaRDI 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 pricing; affine term structure models; financial econometrics; empirical finance; fixed income derivatives
91G70: Statistical methods; risk measures
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
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