Analytical bounds for Treasury bond futures prices
Year of publication: |
2012
|
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Authors: | Chen, Ren-Raw ; Yeh, Shih-kuo |
Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 39.2012, 2, p. 209-239
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Subject: | Treasury bond futures | Delivery options | Cox-Ingersoll-Ross model | Bounds | Öffentliche Anleihe | Public bond | Zinsderivat | Interest rate derivative | Theorie | Theory | Staatspapier | Government securities | Zinsstruktur | Yield curve | CAPM |
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