Term structure movements implicit in Asian option prices

DOI10.1080/14697681003720253zbMath1241.91109MaRDI QIDQ2893078

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Publication date: 25 June 2012

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

Full work available at URL: https://doi.org/10.1080/14697681003720253

zbMATH Keywords

asset pricing; affine term structure models; financial econometrics; empirical finance; fixed income derivatives

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

91G30: Interest rates, asset pricing, etc. (stochastic models)

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

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PRICING INTEREST RATE DERIVATIVES UNDER MONETARY CHANGES, A new finite difference method for pricing and hedging fixed income derivatives: comparative analysis and the case of an Asian option

Cites Work

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