On the American swaption in the linear-rational framework
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DOI: 10.1080/14697688.2018.1446547
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Cited by:
- Xiangfeng Yang & Hua Ke, 2023. "Uncertain interest rate model for Shanghai interbank offered rate and pricing of American swaption," Fuzzy Optimization and Decision Making, Springer, vol. 22(3), pages 447-462, September.
- Frédéric Vrins & Linqi Wang, 2023.
"Asymmetric short-rate model without lower bound,"
Quantitative Finance, Taylor & Francis Journals, vol. 23(2), pages 279-295, February.
- Vrins, Frédéric & Wang, Linqi, 2021. "Asymmetric short-rate model without lower bound," LIDAM Discussion Papers LFIN 2021006, Université catholique de Louvain, Louvain Finance (LFIN).
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