FAST SWAPTION PRICING IN GAUSSIAN TERM STRUCTURE MODELS

DOI10.1111/mafi.12077zbMath1348.91283arXiv1803.08803OpenAlexW2312608297MaRDI QIDQ2831010

Sungchan Shin, Jaehyuk Choi

Publication date: 1 November 2016

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.08803

zbMATH Keywords

fast swaption pricingGaussian term structure modelswaption analyticsvolatility surface calibration

Mathematics Subject Classification ID

Gaussian processes (60G15) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical integration (65D30)

Related Items (1)

Uncertain interest rate model for Shanghai interbank offered rate and pricing of American swaption

Cites Work

• Stochastic duration and fast coupon bond option pricing in multi-factor models
• PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
• Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities

This page was built for publication: FAST SWAPTION PRICING IN GAUSSIAN TERM STRUCTURE MODELS