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Local parametric analysis of derivatives pricing and hedging

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Author Info
Bossaerts, Peter
Hillion, Pierre

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6VHN-487F11S-1/2/3a4db5dbdeeaa2e242afb5eacff171ff
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Publisher Info
Article provided by Elsevier in its journal Journal of Financial Markets.

Volume (Year): 6 (2003)
Issue (Month): 4 (August)
Pages: 573-605
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Handle: RePEc:eee:finmar:v:6:y:2003:i:4:p:573-605

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  1. Fahlenbrach, Rudiger & Sandas, Patrik, 2005. "Co-movements of Index Options and Futures Quotes," Working Paper Series 2006-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  2. Fahlenbrach, Rudiger & Sandas, Patrik, 2005. "Market Frictions and Seemingly Anomalous Co-movements of Index Options and Index Futures Quotes," Working Paper Series 2005-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  3. Jong, F. de & Driessen, J. & Pelsser, A., 2000. "Libor and swap market models for the pricing of interest rate derivatives : an empirical analysis," Discussion Paper 35, Tilburg University, Center for Economic Research. [Downloadable!]
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