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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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