An empirical examination of the convexity bias in the pricing of interest rate swaps

A-Tier

Journal: Journal of Financial Economics

Year: 2000

Volume: 55

Issue: 2

Pages: 239-279

Authors (2)

Gupta, Anurag (Case Western Reserve Universit...) Subrahmanyam, Marti G. (not in RePEc)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

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