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01-112/2 - The Valuation and Hedging of Variable Rate Savings Account


  • Authors
    Frank de Jong, University of Amsterdam, CEPR; Jacco Wielhouwer, ING Group, CentER, Tilburg University
  • Publication date
    November 22, 2001
  • Keywords
    Term structure; duration; uncertain cash flow; variable rates of return
  • JEL
    C33; E43