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Factor dependence of Bermudan swaptions: fact or fiction?

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Author Info
Andersen, Leif
Andreasen, Jesper
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 62 (2001)
Issue (Month): 1 (October)
Pages: 3-37
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Handle: RePEc:eee:jfinec:v:62:y:2001:i:1:p:3-37

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  1. Raoul Pietersz & Antoon Pelsser, 2005. "A Comparison of Single Factor Markov-functional and Multi Factor Market Models," Finance 0502008, EconWPA. [Downloadable!]
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  2. Mireille Bossy & Rajna Gibson & Francois-Serge Lhabitant & Nathalie Pistre & Denis Talay, 2006. "Model misspecification analysis for bond options and Markovian hedging strategies," Review of Derivatives Research, Springer, vol. 9(2), pages 109-135, September. [Downloadable!] (restricted)
  3. Niels Rom-Poulsen, 2007. "Semi-analytical MBS Pricing," The Journal of Real Estate Finance and Economics, Springer, vol. 34(4), pages 463-498, May. [Downloadable!] (restricted)
  4. Caio Ibsen R. Almeida & José Valentim M. Vicente, 2007. "Identifying Volatility Risk Premium from Fixed Income Asian Options," Working Papers Series 136, Central Bank of Brazil, Research Department. [Downloadable!]
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