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Analytical pricing of european bond options within one-factor quadratic term structure models

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https://halshs.archives-ouvertes.fr/halshs-00831035
Contributor : Sophie Bernardini Connect in order to contact the contributor
Submitted on : Thursday, June 6, 2013 - 1:19:07 PM
Last modification on : Thursday, January 14, 2021 - 1:15:02 PM

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  • HAL Id : halshs-00831035, version 1

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Grégoire Leblon, Franck Moraux. Analytical pricing of european bond options within one-factor quadratic term structure models. 30th International French Finance Association conference (AFFI), May 2013, Lyon, France. ⟨halshs-00831035⟩

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