Path dependent options on yields in the affine term structure model

Leblanc, Boris; Scaillet, Olivier

doi:10.1007/s007800050045

Scientific article

English

Path dependent options on yields in the affine term structure model

Contributors

Leblanc, Boris; Scaillet, Olivier

Published in

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

Publication date

1998

UNIGE affiliation entities

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

Additional URL for this publication

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

Journal ISSN

0949-2984

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Creation

14/11/2014 01:43:00

First validation

14/11/2014 01:43:00

Update

14/03/2023 22:14:59

Status update

14/03/2023 22:14:58

Last indexation

30/10/2024 20:43:42

Path dependent options on yields in the affine term structure model

Contributors

Published in

Publication date

UNIGE affiliation entities

Citation (ISO format)

Main files (1)

Identifiers

Additional URL for this publication

Journal ISSN

Technical informations

Creation

First validation

Update

Status update

Last indexation