Pricing CIR yield options by conditional moment matching

DOI10.1007/s10690-017-9222-5zbMath1418.91534OpenAlexW2592120894MaRDI QIDQ1627807

Nicolas Privault, Adrian Prayoga

Publication date: 3 December 2018

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-017-9222-5

zbMATH Keywords

Asian optionsCIR modelconditional moment matchingAsian capsstratified approximation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

CVA and vulnerable options pricing by correlation expansions

Cites Work

• Path dependent options on yields in the affine term structure model
• Squared Bessel processes and their applications to the square root interest rate model
• Pricing average options under time-changed Lévy processes
• Continuous and tractable models for the variation of evolutionary rates
• Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
• A Theory of the Term Structure of Interest Rates
• The square-root process and Asian options
• SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
• Laplace Transforms for Integrals of Markov Processes

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