Pricing interest rate derivatives: a general approach
The relationship between affine stochastic processes and bond pricing equations in
exponential term structure models has been well established. We connect this result to the …
exponential term structure models has been well established. We connect this result to the …
[BOOK][B] Applications of Fourier transform to smile modeling: Theory and implementation
J Zhu - 2009 - books.google.com
This book addresses the applications of Fourier transform to smile modeling. Smile effect is
used generically by? nancial engineers and risk managers to refer to the inconsistences of …
used generically by? nancial engineers and risk managers to refer to the inconsistences of …
[PDF][PDF] Fast Fourier transform for discrete Asian options
E Benhamou - Journal of Computational Finance, 2002 - researchgate.net
This paper presents an efficient methodology for the discrete Asian options consistent with
different types of underlying densities, especially non-normal returns as suggested by the …
different types of underlying densities, especially non-normal returns as suggested by the …
[BOOK][B] Modular pricing of options: An application of Fourier analysis
J Zhu - 2013 - books.google.com
From a technical point of view, the celebrated Black and Scholes option pricing formula was
originally developed using a separation of variables technique. However, already Merton …
originally developed using a separation of variables technique. However, already Merton …
[BOOK][B] Lecture notes in economics and mathematical systems
M Backmann - 1975 - Springer
Lecture notes in economics and mathematical systems Page 2 Lecture Notes in Economics and
Mathematical Systems Founding Editors: M. Beckmann HP Kiinzi Editorial Board: H. Albach, M …
Mathematical Systems Founding Editors: M. Beckmann HP Kiinzi Editorial Board: H. Albach, M …
Identifying volatility risk premia from fixed income Asian options
Fixed income options are frequently adopted by companies to hedge interest rate risk. Their
payoff dependence on the cumulative short-term rate makes them particularly informative …
payoff dependence on the cumulative short-term rate makes them particularly informative …
Small dimension PDE for discrete Asian options
E Benhamou, A Duguet - Journal of Economic Dynamics and Control, 2003 - Elsevier
This paper presents an efficient method for pricing discrete Asian options in presence of
smile and non-proportional dividends. Using an homogeneity property, we show how to …
smile and non-proportional dividends. Using an homogeneity property, we show how to …
Term structure movements implicit in Asian option prices
In this paper we implement dynamic term structure models that adopt bonds and Asian
options in the estimation process. The goal is to analyse the pricing and hedging …
options in the estimation process. The goal is to analyse the pricing and hedging …
Average interest
We develop analytic pricing models for options on averages by means of a state-space
expansion method. These models augment the class of Asian options to markets where the …
expansion method. These models augment the class of Asian options to markets where the …
Average interest rate caps
THF Cheuk, TCF Vorst - Computational Economics, 1999 - Springer
There exist a number of approximation methods for the price of average rate options, when
the underlying asset is a currency or equity. Realistic pricing models for average interest rate …
the underlying asset is a currency or equity. Realistic pricing models for average interest rate …