Moment generating function approach to pricing interest rate and foreign exchange rate claims.

DOI10.1016/S0167-6687(02)00129-4zbMath1055.91023OpenAlexW2062698864MaRDI QIDQ1413350

Theo K. Dijkstra, Yong Yao

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(02)00129-4

zbMATH Keywords

Default-free discount bondsMoment generating functionOptions and swapsState price density

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10)

Related Items

Exponential change of measure applied to term structures of interest rates and exchange rates, The credibility premiums based on estimated moment-generating function, Efficient Factor Models For Yield Curve Dynamics, State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates, Discrete time Wishart term structure models

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