PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS

DOI10.1111/mafi.12019zbMath1314.91217OpenAlexW1918862926MaRDI QIDQ2927950

João Pedro Vidal Nunes, Pedro Miguel Silva Prazeres

Publication date: 5 November 2014

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12019

zbMATH Keywords

Edgeworth expansionstochastic durationrank-1 approximationconditioning approachEuropean-style swaptionsGaussian HJM multifactor modelshyperplane approximationlognormal approximationlow-variance martingale approximation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Valuation of caps and swaptions under a stochastic string model ⋮ Approximate pricing of swaptions in affine and quadratic models

Cites Work

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