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This chapter, except for its introduction, is an adaptation of Lioui and Poncet (2004b) in which the interested reader will also find the pricing of a European option written on the CPI.
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© 2005 Springer Science+Business Media, Inc.
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(2005). General Equilibrium Pricing of Futures and Forward Contracts Written on the CPI. In: Dynamic Asset Allocation with Forwards and Futures. Springer, Boston, MA. https://doi.org/10.1007/0-387-24106-X_11
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DOI: https://doi.org/10.1007/0-387-24106-X_11
Publisher Name: Springer, Boston, MA
Print ISBN: 978-0-387-24107-4
Online ISBN: 978-0-387-24106-7
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