Pricing Coupon Bond Options and Swaptions under the Two-Factor Hull-White Model

The Journal of Fixed Income, Vol. 27, No. 2: pp. 30-36, September 2017

Author(s):

Vincenzo Russo

Head of unit-group risk management at Assicurazioni Generali S.p.A.,

Frank J. Fabozzi

Professor of finance at the EDHEC Business School

The Journal of Fixed Income, Vol. 27, No. 2: pp. 30-36, September 2017

Type: Academic publication
Date: le 30/09/2017
Research Cluster : Finance
Source : The Journal of Fixed Income

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