On the information in the interest rate term structure and option prices

Research output: Contribution to journalArticleScientificpeer-review

54 Downloads (Pure)
Original languageEnglish
Pages (from-to)99-127
JournalReview of Derivatives Research
Volume7
Issue number2
Publication statusPublished - 2004
Externally publishedYes

Cite this

@article{1999b3374ff74ad9badf98cf54a15e16,
title = "On the information in the interest rate term structure and option prices",
author = "{de Jong}, F.C.J.M. and J.J.A.G. Driessen and A. Pelsser",
year = "2004",
language = "English",
volume = "7",
pages = "99--127",
journal = "Review of Derivatives Research",
issn = "1380-6645",
publisher = "Springer New York",
number = "2",

}

On the information in the interest rate term structure and option prices. / de Jong, F.C.J.M.; Driessen, J.J.A.G.; Pelsser, A.

In: Review of Derivatives Research, Vol. 7, No. 2, 2004, p. 99-127.

Research output: Contribution to journalArticleScientificpeer-review

TY - JOUR

T1 - On the information in the interest rate term structure and option prices

AU - de Jong, F.C.J.M.

AU - Driessen, J.J.A.G.

AU - Pelsser, A.

PY - 2004

Y1 - 2004

M3 - Article

VL - 7

SP - 99

EP - 127

JO - Review of Derivatives Research

JF - Review of Derivatives Research

SN - 1380-6645

IS - 2

ER -