Unspanned stochastic volatility and fixed income derivatives pricing

B-Tier

Journal: Journal of Banking & Finance

Year: 2005

Volume: 29

Issue: 11

Pages: 2723-2749

Authors (3)

Casassus, Jaime (Pontificia Universidad Católic...) Collin-Dufresne, Pierre (not in RePEc) Goldstein, Bob (not in RePEc)

Score contribution per author:

0.673 = (α=2.02 / 3 authors) × 1.0x B-tier

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