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Showing 1 to 1 of 1 for “"swaption premiums"”.
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Empirical Evidence of Pricing Efficiency in Niche Markets
… unexpected economic information. The 1Y NC 3M swaption premiums also followed the European one-year into three-month (1Y into 3M) swaption volatilities. Swaption premiums were computed by pricing non-optional instruments using the quoted 1Y NC 3M swap rates and the par value swap rates and …