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Trader-Ready SOFR Swaption Pricing: Jamshidian Decomposition under the Hull–White Model

Year: 2025

Type: article

Source: The Journal of Derivatives

DOI: 10.3905/jod.2025.1.243

Authors: Ming-Chen Shai, Cho-Jui Wu, Meng-Lan Yueh

Institutions: National Taiwan University, National Chengchi University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W4416131992

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