Pricing swaptions and coupon bond options in affine term structure models

AAJ (Antoon) Pelsser, DF Schrager

Research output: Contribution to journalArticleAcademic

34 Citations (Scopus)
Original languageUndefined/Unknown
Pages (from-to)673-694
Number of pages22
JournalMathematical Finance
Volume16
Issue number4
Publication statusPublished - 2006

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