The authors would like to thank Peter Boswijk, Frank de Jong, and participants at the Bachelier Congress in Chicago for discussion and comments. The comments of an anonymous referee are acknowledged.
PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
Article first published online: 1 SEP 2006
Volume 16, Issue 4, pages 673–694, October 2005
How to Cite
Schrager, . D. F. and Pelsser, . A. A. J. (2006), PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS. Mathematical Finance, 16: 673–694. doi: 10.1111/j.1467-9965.2006.00289.x
Manuscript received October 2004; final revision received August 2005.
- Issue published online: 1 SEP 2006
- Article first published online: 1 SEP 2006
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