SWAPTION PRICING IN AFFINE AND OTHER MODELS (Q2927951): Difference between revisions

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+Do interest rate options contain information about excess returns?
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+A YIELD‐FACTOR MODEL OF INTEREST RATES
@@ Property / cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES / rank @@
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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+An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
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+Stochastic duration and fast coupon bond option pricing in multi-factor models
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+PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
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+PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
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