Pricing interest rate futures options with futures‐style margining
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- Damir Filipovi'c & Sander Willems, 2018. "A Term Structure Model for Dividends and Interest Rates," Papers 1803.02249, arXiv.org.
- repec:eee:jbfina:v:98:y:2019:i:c:p:137-155 is not listed on IDEAS
- George W. Kutner & David C. Porter & John G. Thatcher, 2001. "The Proposed Introduction Of Futures-Style Margining In The United States: An Australian Comparison," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(2), pages 239-259, June.
- Nick Gebbia, 2016. "Option-Implied Libor Rate Expectations across Currencies," International Finance Discussion Papers 1182, Board of Governors of the Federal Reserve System (U.S.).
- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
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