PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS

DOI10.1111/j.1467-9965.2006.00289.xzbMath1130.91028OpenAlexW3122241587MaRDI QIDQ3423401

Antoon Pelsser, David F. Schrager

Publication date: 22 February 2007

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00289.x

zbMATH Keywords

change of numeraireconditional characteristic functionoption pricing using transform inversionswap measure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites Work

• Stochastic duration and fast coupon bond option pricing in multi-factor models
• The Market Model of Interest Rate Dynamics
• PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Pricing Interest-Rate-Derivative Securities