Financial support by FCT's grant number PTDC/EGE-ECO/099255/2008 is gratefully acknowledged. The authors also thank the co-editor and two anonymous referees, whose corrections have significantly improved this paper.
PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS
Version of Record online: 7 FEB 2013
© 2013 Wiley Periodicals, Inc.
Volume 24, Issue 4, pages 762–789, October 2014
How to Cite
Nunes, J. P. V. and Prazeres, P. M. S. (2014), PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS. Mathematical Finance, 24: 762–789. doi: 10.1111/mafi.12019
The analyses, opinions, and findings of this paper represent the views of the authors, and they are not necessarily those of the Sociedade Gestora dos Fundos de Pensões do Banco de Portugal, the Banco de Portugal, or the Eurosystem.
- Issue online: 24 SEP 2014
- Version of Record online: 7 FEB 2013
- Manuscript Accepted: 1 AUG 2012
- Manuscript Received: 1 AUG 2011
- FCT's. Grant Number: PTDC/EGE-ECO/099255/2008
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