The sensitivity of interest rate options to monetary policy decisions : a regime-shift pricing approach
Year of publication: |
January 2016
|
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Authors: | Ferland, René ; Gauthier, Geneviève ; Lalancette, Simon |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 36.2016, 1, p. 66-87
|
Subject: | Leitzins | Key rate | Geldpolitische Transmission | Monetary transmission | Zinsderivat | Interest rate derivative | Volatilität | Volatility | USA | United States | 1998-2007 |
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