%0 Journal Article %1 Jagannathan2003 %A Jagannathan, Ravi %A Kaplin, Andrew %A Sun, Steve %D 2003 %J Journal of Econometrics %K Swaptions %N 1-2 %P 113--146 %T An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices %U http://www.sciencedirect.com/science/article/B6VC0-48945H4-2/2/646c0dd236a3dfd9d6d0aad01fdfb1ef %V 116

@article{Jagannathan2003, added-at = {2008-04-21T22:02:42.000+0200}, author = {Jagannathan, Ravi and Kaplin, Andrew and Sun, Steve}, biburl = {https://www.bibsonomy.org/bibtex/26acf57217e828a962285eb13c6aa03c4/smicha}, description = {Journal of Econometrics}, interhash = {c959972a06dec81253e2410cb1e50263}, intrahash = {6acf57217e828a962285eb13c6aa03c4}, journal = {Journal of Econometrics}, keywords = {Swaptions}, month = {00}, number = {1-2}, pages = {113--146}, timestamp = {2008-04-21T22:04:24.000+0200}, title = {An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices}, url = {http://www.sciencedirect.com/science/article/B6VC0-48945H4-2/2/646c0dd236a3dfd9d6d0aad01fdfb1ef}, volume = 116, year = 2003 }