Pricing swaptions and coupon bond options in affine term structure models

David F. Schrager*, Antoon A. J. Pelsser

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

Original languageEnglish
Pages (from-to)673-694
Number of pages22
JournalMathematical Finance
Volume16
Issue number4
DOIs
Publication statusPublished - Oct 2006
Externally publishedYes

Keywords

  • swaption
  • coupon bond option
  • affine term structure models
  • change of numeraire
  • swap measure
  • conditional characteristic function
  • option pricing using transform inversion

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