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

DOI10.1080/14697680701310961MaRDI QIDQ3498563zbMATH OpenOpenAlexFDO

Authors 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

fast Fourier transform (FFT)LIBOR modelsquare-root processstochastic volatilityswaptions

Mathematics Subject Classification ID

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

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A theory of the term structure of interest rates
• scientific article; zbMATH DE number 1344855 (Why is no real title available?)
• LIBOR and swap market models and measures
• Martingales and stochastic integrals in the theory of continuous trading
• Monte Carlo methods for security pricing
• The Market Model of Interest Rate Dynamics
• The Term Structure of Simple Forward Rates with Jump Risk
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Volatility skews and extensions of the Libor market model

Cited in

(5)

• LIBOR market model with stochastic volatility
• Fast swaption pricing in Gaussian term structure models
• A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach
• Regime-switching stochastic volatility model: estimation and calibration to VIX options
• Pricing of swaptions in affine term structures with stochastic volatility

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