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~isPartOf:"Journal of Banking & Finance"
~isPartOf:"International Center for Financial Asset Management and Engineering - FAME Research Paper Series"
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Credit Spread Specification and the Pricing of Spread Options
Mougeot, Nicolas
-
2000
This paper shows a simple approach to the pricing of options on spread and some arguments in favor of modelling the spread using its two components instead of the spread itself.
Persistent link: https://www.econbiz.de/10005843219
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The pricing of systematic liquidity risk: Empirical evidence from the US stock market
Gibson, Rajna
;
Mougeot, Nicolas
- In:
Journal of Banking & Finance
28
(
2004
)
1
,
pp. 157-178
Persistent link: https://www.econbiz.de/10005213073
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