Pricing Swaptions Within an Affine Framework

By Pierre Collin-Dufresne, Robert S. Goldstein. 2002

79 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/f3ae34bdfd7170563fc471e46e3105d4b9853e08

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1. D. Schrager
2. Antoon Pelsser
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4. A. V. Haastrecht

Citations in the corpus

• A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives (2009, unknown): “See Appendix A.”
• PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS (2006, methodology): “Collin-Dufresne and Goldstein (2002) propose to approximate the price of a swaption based on an Edgeworth expansion of the density of the coupon bond price (i.e., swap rate).”
• Identification of Maximal Affine Term Structure Models (2008, unknown): “Further, the DK framework cannot incorporate those models that exhibit unspanned stochastic volatility (USV, Collin-Dufresne and Goldstein (2002a)).”