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    • Estimation of bid-ask prices for options on LIBOR based instruments 

      Sonono, Masimba Energy; Mashele, Hopolang Phillip (Elsevier, 2016)
      Interest rate options are the most liquid traded derivatives in the markets. We observe the following from the markets: (i) Market dealers usually quote the mid-price. The mid-price is a subjective and hypothetical price. ...