Closed-form Arrow-Debreu pricing for the Hull-White short rate model

DOI10.1080/14697688.2019.1636125MaRDI QIDQ5120737zbMATH OpenOpenAlexFDO

Authors C. Turfus

Publication date 16 September 2020

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2019.1636125

zbMATH Keywords

Arrow-Debreuclosed-form solutionGreen's functionHull-Whiteperturbation expansionpricing kernelshort rate model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A theory of the term structure of interest rates
• A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
• An effective approximation for zero-coupon bonds and Arrow-Debreu prices in the Black-Karasinski model
• An equilibrium characterization of the term structure
• Approximate Formulas for Zero‐coupon Bonds
• Approximations of bond and swaption prices in a Black-Karasiński model
• Explicit implied volatilities for multifactor local-stochastic volatility models
• Interest rate models -- theory and practice. With smile, inflation and credit
• On the exponential solution of differential equations for a linear operator
• Pricing interest-rate-derivative securities
• Probability distribution in the SABR model of stochastic volatility
• THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES

Cited in

(5)

• A PDE based implementation of the Hull\,\&\,White model for cash flow derivatives
• Interest rate derivatives in a Duffie and Kan model with stochastic volatility: an Arrow-Debreu pricing approach
• Deriving Closed-Form Solutions for Gaussian Pricing Models: A Systematic Time-Domain Approach
• Closed-form convexity and cross-convexity adjustments for Heston prices
• An artificial boundary method for the Hull-White model of American interest rate derivatives

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