An empirical examination of the convexity bias in the pricing of interest rate swaps

Anurag Gupta and Marti G. Subrahmanyam

Journal of Financial Economics, 2000, vol. 55, issue 2, 239-279

Date: 2000
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Related works:
Working Paper: An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps (1999)
Working Paper: An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps (1998)
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