SWAPTION PRICING IN AFFINE AND OTHER MODELS
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Publication:2927951
DOI10.1111/mafi.12014zbMath1314.91212OpenAlexW3121585826MaRDI QIDQ2927951
Publication date: 5 November 2014
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12014
Related Items (4)
Stochastic string models with continuous semimartingales ⋮ Valuation of caps and swaptions under a stochastic string model ⋮ Approximate pricing of swaptions in affine and quadratic models ⋮ Rational Models for Inflation-Linked Derivatives
Cites Work
- Stochastic duration and fast coupon bond option pricing in multi-factor models
- Do interest rate options contain information about excess returns?
- An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
- PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
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