AN EFFECTIVE APPROXIMATION FOR ZERO-COUPON BONDS AND ARROW–DEBREU PRICES IN THE BLACK–KARASINSKI MODEL

DOI10.1142/S021902491450037XzbMath1298.91170OpenAlexW3125499251MaRDI QIDQ2929374

Luca Capriotti, Beata Stehlíková

Publication date: 12 November 2014

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

Full work available at URL: https://doi.org/10.1142/s021902491450037x

zbMATH Keywords

stochastic processespower series expansionsderivative pricingBlack-Karasinski

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (5)

Multilayer heat equations: application to finance ⋮ Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion ⋮ Closed-form Arrow-Debreu pricing for the Hull-White short rate model ⋮ Perturbation analysis of a nonlinear equation arising in the Schaefer-Schwartz model of interest rates ⋮ A path-integral approximation for non-linear diffusions

Cites Work

• Unnamed Item
• Stochastic calculus for finance. I: The binomial asset pricing model.
• A Theory of the Term Structure of Interest Rates
• THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Approximate Formulas for Zero‐coupon Bonds
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities

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