Browsing Produção Intelectual em Bases Externas by Title "Term structure movements implicit in Asian option prices"

Now showing items 1-1 of 1

    • Term structure movements implicit in Asian option prices 

      Almeida, Caio Ibsen Rodrigues de; Vicente, José
      2008
      In this paper we implement dynamic term structure models that adopt bonds and Asian options in the estimation process. The goal is to analyse the pricing and hedging implications of term structure movements when options ...