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Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market

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Author Info
Longstaff, Francis A.
Santa-Clara, Pedro
Schwartz, Eduardo S.
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 62 (2001)
Issue (Month): 1 (October)
Pages: 39-66
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Handle: RePEc:eee:jfinec:v:62:y:2001:i:1:p:39-66

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Web page: http://www.elsevier.com/locate/inca/505576

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  1. Svenstrup, Mikkel, 2003. "On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions," Finance Working Papers 02-24, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
  2. Kerkhof, J. & Pelsser, A., 2002. "Observational equivalence of discrete string models and market models," Discussion Paper 28, Tilburg University, Center for Economic Research. [Downloadable!]
  3. Francis A. Longstaff, 2004. "Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities," NBER Working Papers 10422, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Jensen, Malene Shin & Svenstrup, Mikkel, 2002. "Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model," Finance Working Papers 02-23, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
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