Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market

A-Tier

Journal: Journal of Financial Economics

Year: 2001

Volume: 62

Issue: 1

Pages: 39-66

Authors (3)

Longstaff, Francis A. (University of California-Los A...) Santa-Clara, Pedro (Universidade Nova de Lisboa) Schwartz, Eduardo S. (not in RePEc)

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count