PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS

DOI10.1111/j.1467-9965.2006.00289.xzbMath1130.91028OpenAlexW3122241587MaRDI QIDQ3423401

Antoon Pelsser, David F. Schrager

Publication date: 22 February 2007

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00289.x

zbMATH Keywords

change of numeraireconditional characteristic functionoption pricing using transform inversionswap measure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (19)

On swap rate dynamics: to freeze or not to freeze? ⋮ Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting ⋮ Approximate pricing of swaptions in affine and quadratic models ⋮ Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration ⋮ PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS ⋮ SWAPTION PRICING IN AFFINE AND OTHER MODELS ⋮ Preliminary test and estimation in some multifactor diffusion processes ⋮ Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model ⋮ A general Gaussian interest rate model consistent with the current term structure ⋮ Calibration of one-factor and two-factor hull-white models using swaptions ⋮ American options and callable bonds under stochastic interest rates and endogenous bankruptcy ⋮ Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk ⋮ A Lévy HJM multiple-curve model with application to CVA computation ⋮ Affine stochastic mortality ⋮ DYNAMIC HEDGING STRATEGIES FOR CASH BALANCE PENSION PLANS ⋮ Analytical approximations for prices of swap rate dependent embedded options in insurance products ⋮ FAST SWAPTION PRICING IN GAUSSIAN TERM STRUCTURE MODELS ⋮ THE AFFINE LIBOR MODELS ⋮ The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives

Cites Work

• Stochastic duration and fast coupon bond option pricing in multi-factor models
• The Market Model of Interest Rate Dynamics
• PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Pricing Interest-Rate-Derivative Securities

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