Convexity Bias in the Pricing of Eurodollar Swaps
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DOI: 10.1023/A:1020693608365
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Cited by:
- Vladimir Pozdnyakov & J. Michael Steele, 2009. "Convexity Bias in Eurodollar Futures Prices: A Dimension-Free HJM Criterion," Methodology and Computing in Applied Probability, Springer, vol. 11(4), pages 551-560, December.
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Keywords
Heath-Jarrow-Morton model; HJM model; interest rates; LIBOR; futures prices; arbitrage pricing; swap; equivalent martingale measures;All these keywords.
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