PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS (Q3423401): Difference between revisions
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| Property / cites work: PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS / rank | |||
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Latest revision as of 15:08, 25 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS |
scientific article |
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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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