Fast swaption pricing under the market model with a square-root volatility process

DOI10.1080/14697680701310961zbMath1134.91380OpenAlexW2126528285MaRDI QIDQ3498563

Lixin Wu, Fan Zhang

Publication date: 15 May 2008

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

Full work available at URL: https://doi.org/10.1080/14697680701310961

zbMATH Keywords

stochastic volatilitysquare-root processswaptionsfast Fourier transform (FFT)LIBOR model

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Proceedings, conferences, collections, etc. pertaining to numerical analysis (65-06) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (1)

Regime-switching stochastic volatility model: estimation and calibration to VIX options

Cites Work

• Unnamed Item
• Martingales and stochastic integrals in the theory of continuous trading
• LIBOR and swap market models and measures
• Monte Carlo methods for security pricing
• A Theory of the Term Structure of Interest Rates
• The Market Model of Interest Rate Dynamics
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Volatility skews and extensions of the Libor market model
• The Term Structure of Simple Forward Rates with Jump Risk
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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