AN EFFECTIVE APPROXIMATION FOR ZERO-COUPON BONDS AND ARROW–DEBREU PRICES IN THE BLACK–KARASINSKI MODEL

DOI10.1142/S021902491450037XzbMath1298.91170MaRDI QIDQ2929374

Luca Capriotti, Beata Stehlíková

Publication date: 12 November 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902491450037x

zbMATH Keywords

stochastic processes; power series expansions; derivative pricing; Black-Karasinski

Mathematics Subject Classification ID

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

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

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

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• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Approximate Formulas for Zero‐coupon Bonds
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities