AN EFFECTIVE APPROXIMATION FOR ZERO-COUPON BONDS AND ARROW–DEBREU PRICES IN THE BLACK–KARASINSKI MODEL
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Publication:2929374
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
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