Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model
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DOI: 10.1007/s11147-023-09196-4
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More about this item
Keywords
Interest rate derivatives; Swaptions; Options on futures; Option premium; Option excess returns; Discrete-time arbitrage-free Nelson–Siegel model;All these keywords.
JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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