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Options on the One Day Interfinancial Deposits Index: Derivation of a Formula for the Calculation of the Arbitrage Free Price

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Author Info
Viera Neto, C.A.
Pedro L. Valls Pereira

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File URL: http://www.ibmecsp.edu.br/pesquisa/download.php?recid=681
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Paper provided by Finance Lab, Ibmec São Paulo in its series Finance Lab Working Papers with number flwp_22.

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Date of creation: Oct 2000
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Handle: RePEc:ibm:finlab:flwp_22

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  1. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November. [Downloadable!] (restricted)
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This page was last updated on 2009-12-9.


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