Identifying volatility risk premia from fixed income Asian options
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- Caio Ibsen R. Almeida & José Valentim M. Vicente, 2007. "Identifying Volatility Risk Premium from Fixed Income Asian Options," Working Papers Series 136, Central Bank of Brazil, Research Department.
References listed on IDEAS
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- Almeida, Caio & Vicente, José, 2009.
"Are interest rate options important for the assessment of interest rate risk?,"
Journal of Banking & Finance,
Elsevier, vol. 33(8), pages 1376-1387, August.
- Caio Almeida & José Vicente, 2009. "Are Interest Rate Options Important for the Assessment of Interest Rate Risk?," Working Papers Series 179, Central Bank of Brazil, Research Department.
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FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 67(2), June.
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- Kellard, Neil M. & Jiang, Ying & Wohar, Mark, 2015. "Spurious long memory, uncommon breaks and the implied–realized volatility puzzle," Journal of International Money and Finance, Elsevier, vol. 56(C), pages 36-54.
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"The role of macroeconomic variables in sovereign risk,"
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More about this item
KeywordsAsian options Risk premium Stochastic volatility Incomplete markets;
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