Boris Leblanc, Olivier Scaillet. Path dependent options on yields in the affine term structure model. Finance and Stochastics, 2(4):349-367, 1998. [doi]
@article{LeblancS98,
title = {Path dependent options on yields in the affine term structure model},
author = {Boris Leblanc and Olivier Scaillet},
year = {1998},
doi = {10.1007/s007800050045},
url = {http://dx.doi.org/10.1007/s007800050045},
researchr = {https://researchr.org/publication/LeblancS98},
cites = {0},
citedby = {0},
journal = {Finance and Stochastics},
volume = {2},
number = {4},
pages = {349-367},
}