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Swaption Pricing In Affine And Other Models

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  • Don H. Kim
Abstract
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Suggested Citation

  • Don H. Kim, 2014. "Swaption Pricing In Affine And Other Models," Mathematical Finance, Wiley Blackwell, vol. 24(4), pages 790-820, October.
    • Handle: RePEc:bla:mathfi:v:24:y:2014:i:4:p:790-820
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    File URL: http://hdl.handle.net/10.1111/mafi.2014.24.issue-4
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    Cited by:

    1. Henrik Dam & Andrea Macrina & David Skovmand & David Sloth, 2018. "Rational Models for Inflation-Linked Derivatives," Papers 1801.08804, arXiv.org, revised Jul 2020.
    2. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2019. "Affine multiple yield curve models," Mathematical Finance, Wiley Blackwell, vol. 29(2), pages 568-611, April.
    3. Bueno-Guerrero, Alberto & Moreno, Manuel & Navas, Javier F., 2015. "Stochastic string models with continuous semimartingales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 433(C), pages 229-246.
    4. Bueno-Guerrero, Alberto & Moreno, Manuel & Navas, Javier F., 2020. "Valuation of caps and swaptions under a stochastic string model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).

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