Title:

Throwing Away a Billion Dollars: The Cost of Suboptimal Exercise Strategies in the Swaptions Market

Authors:

Francis Longstaff (UCLA)
Pedro Santa Clara (UCLA)
Eduardo Schwartz (UCLA)

Journal:

Journal of Financial Economics

Year:

2001

Volume:

62

Pages:

39-66

JEL codes:

G13 - Contingent Pricing; Futures Pricing
G12 - Asset Pricing; Trading volume; Bond Interest Rates