Path dependent options on yields in the affine term structure model

Leblanc, Boris; Scaillet, Olivier

doi:10.1007/s007800050045

Scientific article

Open access

English

Path dependent options on yields in the affine term structure model

ContributorsLeblanc, Boris; Scaillet, Olivier

Published inFinance and stochastics, vol. 2, no. 4, p. 349-367

Publication date1998

Affiliation

Faculté d'économie et de management / Geneva Finance Research Institute

Citation (ISO format)

LEBLANC, Boris, SCAILLET, Olivier. Path dependent options on yields in the affine term structure model. In: Finance and stochastics, 1998, vol. 2, n° 4, p. 349–367. doi: 10.1007/s007800050045

Article (Published version)

Identifiers

PID : unige:41793
DOI : 10.1007/s007800050045

Commercial URLhttp://link.springer.com/article/10.1007%2Fs007800050045#page-1

ISSN of the journal0949-2984

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Path dependent options on yields in the affine term structure model

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