Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
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Publication:4345919
DOI10.1111/j.1467-9965.1991.tb00020.xzbMath0900.90107MaRDI QIDQ4345919
Publication date: 31 August 1997
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1991.tb00020.x
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Valuation and hedging of contingent claims in the HJM model with deterministic volatilities, A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model
Cites Work
- Point processes and queues. Martingale dynamics
- Martingales and stochastic integrals in the theory of continuous trading
- A stochastic calculus model of continuous trading: Complete markets
- A Theory of the Term Structure of Interest Rates
- An Intertemporal General Equilibrium Model of Asset Prices
- An equilibrium characterization of the term structure
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