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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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  • Yu, W. T. & Pang, W. K. & Li, L. K., 2004. "Borrowing cost reduction by interest rate swaps--an option pricing analysis," European Journal of Operational Research, Elsevier, vol. 154(3), pages 764-778, May.
  • Handle: RePEc:eee:ejores:v:154:y:2004:i:3:p:764-778

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    References listed on IDEAS

    1. 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 449-470, May.
    2. Lee, C Jevons, 1981. "The Pricing of Corporate Debt: A Note," Journal of Finance, American Finance Association, vol. 36(5), pages 1187-1189, December.
    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. 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.
    5. Bicksler, James & Chen, Andrew H, 1986. " An Economic Analysis of Interest Rate Swaps," Journal of Finance, American Finance Association, vol. 41(3), pages 645-655, July.
    6. 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.
    7. Litzenberger, Robert H, 1992. " Swaps: Plain and Fanciful," Journal of Finance, American Finance Association, vol. 47(3), pages 831-850, July.
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