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Keywords: Key Rate Durations
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Journal Articles
Convexity Analysis of Option Embedded Bonds
Open Access
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2004) 12 (1): 23–49.
Published: 30 May 2004
..., there will be a generalized concept which measures convexity of a bond under the duration vector model. This study identifies the convexity property of an option embedded bond portfolio under ‘key rate duration model‘ which is a kind of duration vector model suggested by Ho (1992). Term Structure of Interest Rates...
