PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS (Q3423401)
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scientific article; zbMATH DE number 5129284
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS |
scientific article; zbMATH DE number 5129284 |
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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0.9254626631736756
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0.8465108871459961
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0.8453589677810669
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0.839136004447937
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0.8054336905479431
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