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A Simple Non-Parametric Approach to Bond Futures Option Pricing

✍ Scribed by Stutzer, Michael; Chowdhury, Muinul


Book ID
120046832
Publisher
Institutional Investor
Year
1999
Tongue
English
Weight
151 KB
Volume
8
Category
Article
ISSN
1059-8596

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A simple approach to bond option pricing
✍ Wei, Jason Z. πŸ“‚ Article πŸ“… 1997 πŸ› John Wiley and Sons 🌐 English βš– 335 KB πŸ‘ 2 views

In the last 15 years or so, tremendous efforts and progress have been made in valuing interest rate sensitive derivative securities. Broadly speaking, two different approaches have been used. Some authors have modeled interest rates in an equilibrium setting and derived bond prices and other interes