Throwing away a billion dollars: The cost of suboptimal exercise strategies in the swaptions market

Journal of Financial Economics

Volumn 62, Issue 1, 2001, Pages 39-66

  Longstaff, Francis A ^a   Santa Clara, Pedro ^a   Schwartz, Eduardo S ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

American option; C52; E43; E47; Exercise strategy; G13; Model misspecification; Term structure

Indexed keywords

EID: 0009944581     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(01)00073-3     Document Type: Article

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