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Keywords: Swaptions
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2004) 12 (2): 157–179.
Published: 30 November 2004
...Joon Hee Rhee This paper examines the pricing of interest rates derivatives such as caps and swaptions in the pricing kernel framework. The underlying state variable is extended to the general infinitely divisible Levy process. For computational purposes, a simple pricing kernel as in Flesaker...

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