The relative valuation of caps and swaptions: Theory and empirical evidence

Journal of Finance

Volumn 56, Issue 6, 2001, Pages 2067-2109

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

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040925660     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/0022-1082.00399     Document Type: Review

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