PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS

By D. Schrager, Antoon Pelsser. 2006

80 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/8042ff605b91ed58c3c67e3c78b0874a7cf95108

Citations in the corpus

• A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives (2009, unknown): “Furthermore, the dynamics of v i (u) under the forward swap measure 10 Other approximation schemes have been developed by Collin-Dufresne and Goldstein (2002b); Singleton and Umantsev (2002); and Schrager and Pelsser (2006).”