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

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  • Longstaff, Francis A.
  • Santa-Clara, Pedro
  • Schwartz, Eduardo S.

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  • Longstaff, Francis A. & Santa-Clara, Pedro & Schwartz, Eduardo S., 2001. "Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market," Journal of Financial Economics, Elsevier, vol. 62(1), pages 39-66, October.
  • Handle: RePEc:eee:jfinec:v:62:y:2001:i:1:p:39-66
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    Cited by:

    1. Longstaff, Francis A., 2002. "Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities," University of California at Los Angeles, Anderson Graduate School of Management qt19k7479t, Anderson Graduate School of Management, UCLA.
    2. Christophe PÉRIGNON & Christophe VILLA, 2002. "Permanent and Transitory Factors Affecting the Dynamics of the Term Structure of Interest Rates," FAME Research Paper Series rp53, International Center for Financial Asset Management and Engineering.
    3. Raoul Pietersz & Antoon Pelsser, 2010. "A comparison of single factor Markov-functional and multi factor market models," Review of Derivatives Research, Springer, vol. 13(3), pages 245-272, October.
    4. Couch, Robert & Wu, Wei, 2016. "The fair value option for liabilities and stock returns during the financial crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 83-98.
    5. Chockalingam, Arun & Feng, Haolin, 2015. "The implication of missing the optimal-exercise time of an American option," European Journal of Operational Research, Elsevier, vol. 243(3), pages 883-896.
    6. Laruent Barras, 2005. "International Conditional Asset Allocation under Real Time Uncertrainty," FAME Research Paper Series rp153, International Center for Financial Asset Management and Engineering.
    7. 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.
    8. Levy, Moshe & Ritov, Yaacov, 2001. "Portfolio Optimization with Many Assets: The Importance of Short-Selling," University of California at Los Angeles, Anderson Graduate School of Management qt41x4t67m, Anderson Graduate School of Management, UCLA.
    9. 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.
    10. Francis A. Longstaff, 2004. "Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities," NBER Working Papers 10422, National Bureau of Economic Research, Inc.
    11. Kerkhof, F.L.J. & Pelsser, A., 2002. "Observational Equivalence of Discrete String Models and Market Models," Discussion Paper 2002-28, Tilburg University, Center for Economic Research.
    12. Victor Lapshin & Marat Kurbangaleev, 2013. "A joint non-parametric approach to the decomposition of bond yields and CDS spreads: application of Eurozone market data," HSE Working papers WP BRP 13/FE/2013, National Research University Higher School of Economics.
    13. de Jong, C.M. & Huisman, R., 2002. "Option Formulas for Mean-Reverting Power Prices with Spikes," ERIM Report Series Research in Management ERS-2002-96-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    14. Svenstrup, Mikkel, 2005. "On the suboptimality of single-factor exercise strategies for Bermudan swaptions," Journal of Financial Economics, Elsevier, vol. 78(3), pages 651-684, December.

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