Pricing swaptions and coupon bond options in affine term structure models

AAJ (Antoon) Pelsser, DF Schrager

Research output: Contribution to journal › Article › Academic

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Cite this

@article{550f958bfa9f4d6785cc547443b36aca,

title = "Pricing swaptions and coupon bond options in affine term structure models",

author = "Pelsser, {AAJ (Antoon)} and DF Schrager",

year = "2006",

language = "Undefined/Unknown",

volume = "16",

pages = "673--694",

journal = "Mathematical Finance",

issn = "0960-1627",

publisher = "Wiley-Blackwell Publishing Ltd",

number = "4",

}