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-related Yield To Maturity (YTM). The framework stands for both sovereign and corporate bonds. We price both in stochastic and local … volatility of the forward yield, and we write the diffusion of the forward yield. Pricing the forward yield to maturity is … equivalent to pricing the related forward bond, as the bond price is linked to the yield to maturity price through a basic …
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claim prices with the pricing and timing of the growth option taking business cycle and debt maturity into account. For … the fraction 50% of the interest rate of bank loans with the same maturity, but for long-term debt, we show this fraction …
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patterns close to maturity suggests that investor inattention to exact expiration date rather than underlying risk exposures or …
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maturity varying yields, maturity varying volatility, and maturity varying interest rates. Most research papers focused on … compound options do not address yields on the underlying option nor maturity varying parameters. The purpose of this paper is …
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Hedging at-the-money digital options near maturity, remains a challenge in quantitative finance. In the present work …
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