Pricing coupon-bond options and swaptions in affine term structure models

Mathematical Finance

Volumn 12, Issue 4, 2002, Pages 427-446

  Singleton, Kenneth J ^a   Umantsev, Len ^b  

^a STANFORD UNIVERSITY   (United States)

^b Stanford University   (United States)

Author keywords

Affine term structure model; Coupon bond options; Expected exposure; Swaps; Swaptions

Indexed keywords

EID: 0036789694     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2002.tb00132.x     Document Type: Article

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