Pricing Asian Interest Rate Options with a Three-Factor HJM Model
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- Claudio Henrique Barbedo & Octávio Bessada Lion & Jose Valentim Machado Vicente, 2010. "Pricing Asian Interest Rate Options with a Three-Factor HJM Model," Brazilian Review of Finance, Brazilian Society of Finance, vol. 8(1), pages 9-23.
References listed on IDEAS
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- repec:sbe:breart:v:32:y:2012:i:2:a:13534 is not listed on IDEAS
- José Renato Haas Ornelas & Marcelo Yoshio Takami, 2011. "Recovering Risk-Neutral Densities from Brazilian Interest Rate Options," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(1), pages 9-26.
More about this item
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-05 (All new papers)
- NEP-MIC-2009-09-05 (Microeconomics)
- NEP-RMG-2009-09-05 (Risk Management)
- NEP-SEA-2009-09-05 (South East Asia)
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