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Borrowing cost reduction by interest rate swaps--an option pricing analysis

  • Yu, W. T.
  • Pang, W. K.
  • Li, L. K.
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    File URL: http://www.sciencedirect.com/science/article/B6VCT-482YWFN-G/2/c7c62cdabd1861c292cee15c860f0448
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    Article provided by Elsevier in its journal European Journal of Operational Research.

    Volume (Year): 154 (2004)
    Issue (Month): 3 (May)
    Pages: 764-778

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    Handle: RePEc:eee:ejores:v:154:y:2004:i:3:p:764-778
    Contact details of provider: Web page: http://www.elsevier.com/locate/eor

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    1. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
    2. Litzenberger, Robert H, 1992. " Swaps: Plain and Fanciful," Journal of Finance, American Finance Association, vol. 47(3), pages 831-50, July.
    3. Larry D. Wall & John J. Pringle, 1988. "Interest rate swaps: a review of the issues," Economic Review, Federal Reserve Bank of Atlanta, issue Nov, pages 22-40.
    4. Lee, C Jevons, 1981. "The Pricing of Corporate Debt: A Note," Journal of Finance, American Finance Association, vol. 36(5), pages 1187-89, December.
    5. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-70, May.
    6. Bicksler, James & Chen, Andrew H, 1986. " An Economic Analysis of Interest Rate Swaps," Journal of Finance, American Finance Association, vol. 41(3), pages 645-55, July.
    7. Merton, Robert C., 1977. "An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory," Journal of Banking & Finance, Elsevier, vol. 1(1), pages 3-11, June.
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