search query: @author Longstaff, F. A. / total: 9
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Author: | Longstaff, F. A. Santa-Clara, P. Schwartz, E. S. |
Title: | The relative valuation of caps and swaptions: theory and empirical evidence |
Journal: | Journal of Finance
2001 : DEC, VOL. 56:6, p. 2067-2109 |
Index terms: | INTEREST RATES VALUATION |
Freeterms: | CAPS SWAPTIONS |
Language: | eng |
Abstract: | Although, traded as distinct products, caps and swaptions are linked by no-arbitage relations through the correlation structure of interest rates. Using a string market model, the authors solve for the correlation matrix implied by swaptions and examine the relative valuation of caps and swaptions. |
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