Pricing forward-start options in the HJM framework; evidence from the Polish market

DOI10.4064/AM28-2-7zbMATH Open1020.91031OpenAlexW2040076413MaRDI QIDQ4548945FDOQ4548945

Authors: Piotr Sztuba, Aleksander Weron 

Publication date: 27 August 2002

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/am28-2-7

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zbMATH Keywords

hedgingterm structure of interest ratesexotic optionforward-start optionsPolish marketpricing of modified

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (1)

• Pricing models of foreign bond futures options under Heath-Jarrow-Morton framework

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