Pricing swaptions and coupon bond options in affine term structure models

Mathematical Finance

Volumn 16, Issue 4, 2006, Pages 673-694

  Schrager, David F ^a   Pelsser, Antoon A J ^a  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

Affine term structure models; Change of num raire; Conditional characteristic function; Coupon bond option; Option pricing using transform inversion; Swap measure; Swaption

Indexed keywords

EID: 33748304126     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2006.00289.x     Document Type: Article

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