PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS (Q3423401): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claims |
||
| Property / author | |||
| Property / author: David F. Schrager / rank | |||
| Property / author | |||
| Property / author: Antoon Pelsser / rank | |||
Revision as of 22:31, 13 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS |
scientific article |
Statements
PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS (English)
0 references
22 February 2007
0 references
change of numeraire
0 references
swap measure
0 references
conditional characteristic function
0 references
option pricing using transform inversion
0 references
