Options on the One Day Interfinancial Deposits Index: Derivation of a Formula for the Calculation of the Arbitrage Free Price
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References listed on IDEAS
- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
- Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
- Dothan, Michael U., 1990. "Prices in Financial Markets," OUP Catalogue, Oxford University Press, number 9780195053128.
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Cited by:
- 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.
- Claudio Henrique da Silveira Barbedo & José Valentim Machado Vicente & Octávio Manuel Bessada Lion, 2009. "Pricing Asian Interest Rate Options with a Three-Factor HJM Model," Working Papers Series 188, Central Bank of Brazil, Research Department.
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