Stochastic duration and fast coupon bond option pricing in multi-factor models

Review of Derivatives Research

Volumn 3, Issue 2, 1999, Pages 157-181

  Munk, Claus ^a  

^a UNIVERSITY OF SOUTHERN DENMARK   (Denmark)

Author keywords

Coupon bond option pricing; Multi factor models; Stochastic duration; Swaption pricing; The term structure of interest rates

Indexed keywords

EID: 0010556474     PISSN: 13806645     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1009654427422     Document Type: Article

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