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

Francis A. Longstaff; Pedro Santa-Clara; Eduardo S. Schwartz

Year of publication:	2001
Authors:	Longstaff, Francis A. ; Santa-Clara, Pedro ; Schwartz, Eduardo S.
Published in:	Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 62.2001, 1, p. 39-66
Subject:	Swap \| Optionspreistheorie \| Option pricing theory \| Zinsstruktur \| Yield curve \| Theorie \| Theory

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