Two Trees
John Cochrane,
Francis Longstaff,
Pedro Santa Clara
Review Of Financial Studies,
vol. 21, 2008, p. 347-385.
The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence
Francis Longstaff,
Pedro Santa Clara,
Eduardo Schwartz
Journal of Finance,
vol. 56, 2001, p. 2067-2109.
Throwing Away a Billion Dollars: The Cost of Suboptimal Exercise Strategies in the Swaptions Market
Francis Longstaff,
Pedro Santa Clara,
Eduardo Schwartz
Journal of Financial Economics,
vol. 62, 2001, p. 39-66.