Browsing Produção Intelectual em Bases Externas by Title "Identifying volatility risk premia from fixed income Asian options"

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    • Identifying volatility risk premia from fixed income Asian options 

      Almeida, Caio Ibsen Rodrigues de; Vicente, Jose
      2009-04
      Fixed income options are frequently adopted by companies to hedge interest rate risk. Their payoff dependence on the cumulative short-term rate makes them particularly informative about interest rate volatility risk. Based ...