PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS (Q3423401): Difference between revisions
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Revision as of 18:35, 4 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)
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22 February 2007
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change of numeraire
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swap measure
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conditional characteristic function
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option pricing using transform inversion
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