Pricing Swaptions Within an Affine Framework
- 31 August 2002
- journal article
- Published by With Intelligence LLC in The Journal of Derivatives
- Vol. 10 (1) , 9-26
- https://doi.org/10.3905/jod.2002.319187
Abstract
No abstract availableThis publication has 22 references indexed in Scilit:
- Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic VolatilityThe Journal of Finance, 2002
- Term Premia and Interest Rate Forecasts in Affine ModelsThe Journal of Finance, 2002
- Factor dependence of Bermudan swaptions: fact or fiction?Journal of Financial Economics, 2001
- Transform Analysis and Asset Pricing for Affine Jump-diffusionsEconometrica, 2000
- Specification Analysis of Affine Term Structure ModelsThe Journal of Finance, 2000
- Volatility skews and extensions of the Libor market modelApplied Mathematical Finance, 2000
- A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market modelJournal of Computational Finance, 2000
- A YIELD‐FACTOR MODEL OF INTEREST RATESMathematical Finance, 1996
- A Theory of the Nominal Term Structure of Interest RatesThe Review of Financial Studies, 1992
- A Theory of the Term Structure of Interest RatesEconometrica, 1985