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Pricing Swaptions within the Affine Framework · Study

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PreprintPricing Swaptions within the Affine Framework

Pierre Collin‐Dufresne2001

OA

Preprintgreen2001

Pricing Swaptions within the Affine Framework

Pierre Collin‐Dufresne · Robert S. Goldstein

43 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Credit Risk and Financial Regulations

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2012THE AFFINE LIBOR MODELS 2012Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 2001Stochastic Correlation and the Relative Pricing of Caps and Swaptions in a Generalized-Affine Framework

Details

Year2001

Typepreprint

Published2001-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations43

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.269353

openalex_workW1512252999

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