مرکز منطقه ای اطلاع رساني علوم و فناوري - Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market

Title of article :

Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market

Author/Authors :

Francis A. Longstaff، نويسنده , , Pedro Santa-Clara، نويسنده , , Eduardo S. Schwartz، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2001

Pages :

From page :

To page :

Keywords :

Term structure , Exercise strategy , American option , Model misspecification

Journal title :

Journal of Financial Economics

Serial Year :

2001

Journal title :

Journal of Financial Economics

Record number :

257508

Link To Document :