Risk-free rate caplets pricing by CTMC approximation
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Cites work
- A general framework for pricing Asian options under Markov processes
- A new finite difference method for pricing and hedging fixed income derivatives: comparative analysis and the case of an Asian option
- Analysis of Markov chain approximation for option pricing and hedging: grid design and convergence behavior
- Average interest rate caps
- Computable Error Bounds of Laplace Inversion for Pricing Asian Options
- Continuously monitored barrier options under Markov processes
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
- Error analysis of finite difference and Markov chain approximations for option pricing
- scientific article; zbMATH DE number 2065147 (Why is no real title available?)
- Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
- Monte Carlo variance reduction by conditioning for pricing with underlying a continuous-time finite state Markov process
- Path dependent options on yields in the affine term structure model
- Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
- Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates
- Term structure modeling with overnight rates beyond stochastic continuity
- The Markov Chain Market
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
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