PRICING COUPON‐BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS

By Kenneth J. Singleton, Len Umantsev. 2002

108 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/28cd2a8890588f935871f7696f5169f1af09525a

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. D. Schrager
2. Antoon Pelsser
3. R. Lord
4. A. V. Haastrecht

Citations in the corpus

• The fair value of guaranteed annuity options (2006, unknown): “However, an approximating hyperplane can be found, as explained in Munk (1999) and Singleton and Umantsev (2002), and the usual formula (14) used.”
• PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS (2006, methodology): “Other papers considering swaption pricing in ATSMs are Munk (1999), Singleton and Umantsev (2002), and Collin-Dufresne and Goldstein (2002).”
• Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009, unknown): “Recently, transform methods have been generalized to solving somewhat more complicated option contracts, like Bermudan, American or barrier options, see, for example, [32, 21, 3, 4, 29, 41, 17, 40].”
• A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives (2009, unknown): “Other approximation schemes have been developed by Collin-Dufresne and Goldstein (2002b); Singleton and Umantsev (2002) ; and Schrager and Pelsser (2006).”