Deriving Closed-Form Solutions for Gaussian Pricing Models: A Systematic Time-Domain Approach
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closed-form solutionsinterest-rate contingent assetstime-domain approachtwo-factor arbitrage-free Gaussian term structure
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Cites work
- A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES
- Pricing interest-rate-derivative securities
- THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
- VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
Cited in
(4)- Moment characteristic method in the optimal control theory of diffusion-type stochastic systems
- Closed form equilibrium evaluation of interest rate caps and related derivatives in a real business cycle setting
- Closed-form solutions via the invariant approach for one-factor commodity models
- PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES
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