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Journal of finance. 2003;58(5):2219-2248. doi: 10.1111/1540-6261.00603 Q19.52025

Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets

Rong Fan; Anurag Gupta; Peter Ritchken

DOI: 10.1111/1540-6261.00603

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期刊名:Journal of finance

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ISSN:0022-1082

e-ISSN:1540-6261

IF/分区:9.5/Q1

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Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets