PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS

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

zbMATH Keywords

change of numeraire; conditional characteristic function; option pricing using transform inversion; swap measure

Mathematics Subject Classification ID

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