Options on normal underlyings with an application to the pricing of survivor swaptions

C-Tier

Journal: Journal of Futures Markets

Year: 2009

Volume: 29

Issue: 8

Pages: 757-774

Authors (4)

Paul Dawson (not in RePEc) Kevin Dowd (not in RePEc) Andrew J. G. Cairns (not in RePEc) David Blake (City St George's)

Score contribution per author:

0.252 = (α=2.02 / 4 authors) × 0.5x C-tier

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