Pricing eurodollar futures options using the BDT term structure model : the effect of yield curve smoothing
Turan G. Bali; Ahmet K. Karagozoglu
Year of publication: |
2000
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Authors: | Bali, Turan G. ; Karagozoglu, Ahmet K. |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 20.2000, 3, p. 293-306
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Subject: | Devisenoption | Currency option | Euromarkt | Euromarkets | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | USA | United States | 1987-1998 |
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