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The economic determinants of interest rate option smiles
Deuskar, Prachi; Gupta, Anurag; Subrahmanyam, Marti G. - In: Journal of banking & finance 32 (2008) 5, pp. 714-728
Persistent link: https://www.econbiz.de/10003702691
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Liquidity effect in OTC options markets : premium or discount?
Deuskar, Prachi; Gupta, Anurag; Subrahmanyam, Marti G. - In: Journal of financial markets 14 (2011) 1, pp. 127-160
Persistent link: https://www.econbiz.de/10009267085
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Pricing and hedging interest rate options : evidence from cap-floor markets
Gupta, Anurag; Subrahmanyam, Marti G. - In: Journal of banking & finance 29 (2005) 3, pp. 701-733
Persistent link: https://www.econbiz.de/10002516999
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Hedging in the possible presence of unspanned stochastic volatility : evidence from swaption markets
Fan, Rong; Gupta, Anurag; Ritchken, Peter H. - In: The journal of finance : the journal of the American … 58 (2003) 5, pp. 2219-2248
Persistent link: https://www.econbiz.de/10001797838
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An empirical examination of the convexity bias in the pricing of interest rate swaps
Gupta, Anurag; Subrahmanyam, Marti G. - In: Journal of financial economics 55 (2000) 2, pp. 239-279
Persistent link: https://www.econbiz.de/10001448506