Term structure movements implicit in Asian option prices

DOI10.1080/14697681003720253MaRDI QIDQ2893078zbMATH OpenOpenAlexFDO

Authors Caio Almeida, José Valentim Machado Vicente

Publication date 25 June 2012

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697681003720253

zbMATH Keywords

affine term structure modelsasset pricingempirical financefinancial econometricsfixed income derivatives

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Statistical methods; risk measures (91G70)

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Cites work

• A theory of the term structure of interest rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An equilibrium characterization of the term structure
• An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
• Average interest rate caps
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Changes of numéraire, changes of probability measure and option pricing
• Path dependent options on yields in the affine term structure model
• Pricing interest-rate-derivative securities

Cited in

(3)

• Pricing interest rate derivatives under monetary changes
• Exploring non-Analytical affine jump-diffusion models for path-dependent interest rate derivatives
• A new finite difference method for pricing and hedging fixed income derivatives: comparative analysis and the case of an Asian option

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