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The Sensitivity of Interest Rate Options to Monetary Policy Decisions: A Regime‐Shift Pricing Approach |
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| Authors: | René Ferland Geneviève Gauthier Simon Lalancette |
| Affiliation: | 1. René Ferland is at the Department of Mathematics, University du Québec à Montréal, Montréal, Québec, Canada;2. Geneviève Gauthier is at the Department of Management Sciences, HEC Montréal, Montréal, Québec, Canada;3. Simon Lalancette is at the Department of Finance, HEC Montréal, Montréal, Québec, Canada |
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