A Multifactor Spot Rate Model for the Pricing of Interest Rate Derivatives
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- Gupta, Anurag & Subrahmanyam, Marti G., 2005. "Pricing and hedging interest rate options: Evidence from cap-floor markets," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 701-733, March.
- Deuskar, Prachi & Gupta, Anurag & Subrahmanyam, Marti G., 2008. "The economic determinants of interest rate option smiles," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 714-728, May.
- Realdon, Marco, 2009. ""Extended Black" term structure models," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 232-238, December.
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