PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
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Publication:3423401
DOI10.1111/j.1467-9965.2006.00289.xzbMath1130.91028MaRDI 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
change of numeraire; conditional characteristic function; option pricing using transform inversion; swap measure
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H30: Applications of stochastic analysis (to PDEs, etc.)
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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