Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market
- 4 September 2001
- journal article
- Published by Elsevier in Journal of Financial Economics
- Vol. 62 (1) , 39-66
- https://doi.org/10.1016/s0304-405x(01)00073-3
Abstract
No abstract availableKeywords
This publication has 54 references indexed in Scilit:
- Factor Dependence of Bermudan Swaption Prices: Fact or Fiction?SSRN Electronic Journal, 2000
- The Stochastic Volatility of Short‐Term Interest Rates: Some International EvidenceThe Journal of Finance, 1999
- Arbitrage Opportunities in Arbitrage-Free Models of Bond PricingJournal of Business & Economic Statistics, 1998
- Empirical Performance of Alternative Option Pricing ModelsThe Journal of Finance, 1997
- Estimating continuous-time stochastic volatility models of the short-term interest rateJournal of Econometrics, 1997
- A Simple Approach to Three-Factor Affine Term Structure ModelsThe Journal of Fixed Income, 1996
- Bond and Option Pricing when Short Rates are LognormalCFA Magazine, 1991
- A One-Factor Model of Interest Rates and Its Application to Treasury Bond OptionsCFA Magazine, 1990
- An Economic Analysis of Interest Rate SwapsThe Journal of Finance, 1986
- The pricing of commodity contractsJournal of Financial Economics, 1976