Valuing early-exercise interest-rate options with multi-factor affine models

DOI10.1142/S0219024913500349MaRDI QIDQ2862511zbMATH OpenOpenAlexFDO

Authors Sebastian Jaimungal, Vladimir Surkov

Publication date 15 November 2013

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024913500349

zbMATH Keywords

accrual swapsaffine modelsFourier space-time steppinginterest-rate derivativesrange notes

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 Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
• American options in Lévy models with stochastic interest rates
• An equilibrium characterization of the term structure
• Financial Modelling with Jump Processes
• Fourier space time-stepping for option pricing with Lévy models
• Interest rate models -- theory and practice. With smile, inflation and credit
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Lévy-based cross-commodity models and derivative valuation
• MultiFactor Valuation of Floating Range Notes
• Pricing interest-rate derivatives. A Fourier-transform based approach.
• Pricing interest-rate-derivative securities
• Quadratic convergence for valuing American options using a penalty method
• Robust numerical methods for contingent claims under jump diffusion processes
• VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS

Cited in

(4)

• FFT network for interest rate derivatives with Lévy processes
• Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
• A semi-Lagrangian -monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
• On the valuation of interest rate products under multi-factor HJM term-structures

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