Approximation of interest rate derivatives' prices by Gram-Charlier expansion and bond moments

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Approximation of interest rate derivatives' prices by Gram-Charlier expansion and bond moments

Keiichi Tanaka, Takeshi Yamada and Toshiaki Watanabe

(IMES discussion paper series, no. 2005-E-16)

Institute for Monetary and Economic Studies, Bank of Japan, 2005

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Bibliography: p. 24

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