Arbitrage with Fixed Costs and Interest Rate Models
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Other versions of this item:
- Jouini, Elyès & Napp, Clotilde, 2006. "Arbitrage with Fixed Costs and Interest Rate Models," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 41(04), pages 889-913, December.
- Clotilde Napp & Elyès Jouini, 2006. "Arbitrage with fixed costs and interest rate models," Post-Print halshs-00151556, HAL.
- Elyès Jouini & Hedi Kallal & Clotilde Napp, 2003. "Arbitrage with fixed costs and interest rate models," Finance 0312002, EconWPA.
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KeywordsArbitrage; fixed costs; contingent claims pricing; interest rate models; long zero-coupon rates; Dybvig Ingersoll and Ross; Brennan and Schwartz; barrier models;
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