Pricing swaptions within an affine framework

Journal of Derivatives

Volumn 10, Issue 1, 2002, Pages 9-26

  Collin Dufresne, Pierre ^a   Goldstein, Robert S ^b  

^a CARNEGIE MELLON UNIVERSITY   (United States)

^b WASHINGTON UNIVERSITY IN ST LOUIS   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84995714213     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2002.319187     Document Type: Article

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