SWAPTION PRICING IN AFFINE AND OTHER MODELS

DOI10.1111/mafi.12014zbMath1314.91212OpenAlexW3121585826MaRDI QIDQ2927951

Don H. Kim

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.12014

zbMATH Keywords

swaptionsaffine modelscoupon bond optionsquadratic-Gaussian models

Mathematics Subject Classification ID

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

Related Items (4)

Stochastic string models with continuous semimartingales ⋮ Valuation of caps and swaptions under a stochastic string model ⋮ Approximate pricing of swaptions in affine and quadratic models ⋮ Rational Models for Inflation-Linked Derivatives

Cites Work

• Stochastic duration and fast coupon bond option pricing in multi-factor models
• Do interest rate options contain information about excess returns?
• An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
• PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

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