Closed form equilibrium evaluation of interest rate caps and related derivatives in a real business cycle setting

DOI10.1080/1350486X.2016.1243012MaRDI QIDQ4585677zbMATH OpenOpenAlexFDO

Authors Jostein Tvedt

Publication date 6 September 2018

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486x.2016.1243012

zbMATH Keywords

business cyclesequilibrium derivative pricingmean reversion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model
• An equilibrium characterization of the term structure
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Fractional geometric mean-reversion processes
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• The Market Model of Interest Rate Dynamics
• The pricing of options and corporate liabilities
• Time to Build and Aggregate Fluctuations

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