Pricing and calibration of a chooser flexible cap

DOI10.1142/S0217595910002661MaRDI QIDQ3566770zbMATH OpenFDO

Authors Daisuke Ito, Masamitsu Ohnishi, Yasuhiro Tamba

Publication date 10 June 2010

Published in Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0217595910002661

zbMATH Keywords

calibrationchooser flexible capdynamic programmingHull-White modelLIBOR

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• Pricing interest-rate-derivative securities
• The Market Model of Interest Rate Dynamics
• The pricing of options and corporate liabilities

Cited in

(2)

• It's your choice: a unified approach to chooser options
• An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance

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