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The Journal of Derivatives

The Journal of Derivatives

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Primary Article

Alternative Swap Contracts

Analysis And Pricing

Jamil Baz and Michael J. Pascutti
The Journal of Derivatives Winter 1996, 4 (2) 7-21; DOI: https://doi.org/10.3905/jod.1996.407963
Jamil Baz
A vice president at Lehman Brothers in New York.
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Michael J. Pascutti
A graduate student at Harvard University in Cambridge, Massachusetts.
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The Journal of Derivatives
Vol. 4, Issue 2
Winter 1996
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Alternative Swap Contracts
Jamil Baz, Michael J. Pascutti
The Journal of Derivatives Nov 1996, 4 (2) 7-21; DOI: 10.3905/jod.1996.407963

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Alternative Swap Contracts
Jamil Baz, Michael J. Pascutti
The Journal of Derivatives Nov 1996, 4 (2) 7-21; DOI: 10.3905/jod.1996.407963
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Cited By...

  • Understanding the Estimation Risks of Value at Risk
  • Does a Contagion Effect Exist Between Equity * Markets and Hedge Funds in Periods of Extreme * Stress in Financial Markets?
  • Scopus (4)
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More in this TOC Section

  • Variance Reduction for Multivariate Monte Carlo Simulation
  • Valuing Multiple Employee Stock Options Issued by the Same Company
  • Pricing American Interest Rate Options under the Jump-Extended Vasicek Model
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