Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election
Year of publication: |
1998-10
|
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Authors: | Coutant, Sophie ; Jondeau, Eric ; Rockinger, Michael |
Institutions: | C.E.P.R. Discussion Papers |
Subject: | futures option pricing | notional | PIBOR | Political Risk | risk neutral density |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 2010 |
Classification: | C52 - Model Evaluation and Testing ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies |
Source: |
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