Identifying Volatility Risk Premium from Fixed Income Asian Options
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- Almeida, Caio & Vicente, José, 2009. "Identifying volatility risk premia from fixed income Asian options," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 652-661, April.
References listed on IDEAS
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More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-06-02 (All new papers)
- NEP-SEA-2007-06-02 (South East Asia)
- NEP-UPT-2007-06-02 (Utility Models & Prospect Theory)
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