APPROXIMATIONS OF BOND AND SWAPTION PRICES IN A BLACK–KARASIŃSKI MODEL

DOI10.1142/S0219024916500175zbMath1337.91118arXiv1506.00697OpenAlexW793843256MaRDI QIDQ2806362

Andrzej Daniluk, Rafał Muchorski

Publication date: 17 May 2016

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

Full work available at URL: https://arxiv.org/abs/1506.00697

zbMATH Keywords

stochastic processesderivative pricingKarhunen-Loève expansionBlack-Karasiński model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Closed-form Arrow-Debreu pricing for the Hull-White short rate model ⋮ A path-integral approximation for non-linear diffusions ⋮ Small-time asymptotics for Gaussian self-similar stochastic volatility models

Cites Work

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• THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES
• Approximate Formulas for Zero‐coupon Bonds

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