Stochastic Duration and Fast Coupon Bond Option Pricing in ...
bond with a time to maturity equal to the stochastic duration of the coupon bond. Keywords: the term structure of interest rates, stochastic duration, multi-factor models, coupon bond option pricing, swaption pricing. JEL classification: E43, G13. To quantify the interest rate risk of portfolios of bonds and other term structure derivatives ................
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