A Skellam market model for loan prime rate options
Year of publication: |
2022
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Authors: | Chen, Zhanyu ; Zhang, Kai ; Zhao, Hongbiao |
Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 42.2022, 3, p. 525-551
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Subject: | implied intensity | intensity smile | loan prime rate (LPR) | loan prime rate option | prescheduled macroeconomic announcements | Skellam market model | Zins | Interest rate | Optionspreistheorie | Option pricing theory | Kreditwürdigkeit | Credit rating | Zinsderivat | Interest rate derivative | Kredit | Credit | Ankündigungseffekt | Announcement effect | Kreditrisiko | Credit risk |
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