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Keywords: Reverse floating interest rate‐linked products
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Journal Articles
An empirical study of the pricing of reverse floating interest rate‐linked products
Available to Purchase
Journal:
China Finance Review International
China Finance Review International (2013) 3 (2): 186–202.
Published: 10 May 2013
... investors' needs and issuers' profits. The purpose of this paper is to empirically analyze the rationality of the pricing of reverse floating interest rate‐linked products. Design/methodology/approach This paper combines the Itô's Lemma and introduces the Black‐Derman‐Toy (BDT) model into the time...
