Please log in to take part in the discussion (add own reviews or comments).
Cite this publication
More citation styles
- please select -
%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
}