Helpful comments from Young-Ho Eom, Ken Singleton, and two anonymous referees are gratefully acknowledged. The opinions expressed in this paper are those of the author and do not necessarily reflect the views of the Board of Governors of the Federal Reserve System.
SWAPTION PRICING IN AFFINE AND OTHER MODELS
Article first published online: 2 NOV 2012
© 2012 Wiley Periodicals, Inc.
Volume 24, Issue 4, pages 790–820, October 2014
How to Cite
Kim, D. H. (2014), SWAPTION PRICING IN AFFINE AND OTHER MODELS. Mathematical Finance, 24: 790–820. doi: 10.1111/mafi.12014
- Issue published online: 24 SEP 2014
- Article first published online: 2 NOV 2012
- Manuscript Accepted: 1 JUL 2012
- Manuscript Received: 1 DEC 2011
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