Deriving Closed-Form Solutions for Gaussian Pricing Models: A Systematic Time-Domain Approach

DOI10.1142/S0219024998000205zbMath0909.90026OpenAlexW2120324762MaRDI QIDQ4216119

Alexander Levin

Publication date: 28 December 1998

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

Full work available at URL: https://doi.org/10.1142/s0219024998000205

zbMATH Keywords

time-domain approachclosed-form solutionsinterest-rate contingent assetstwo-factor arbitrage-free Gaussian term structure

Mathematics Subject Classification ID

Related Items

Moment characteristic method in the optimal control theory of diffusion-type stochastic systems

Cites Work

• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
• FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
• A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
• Pricing Interest-Rate-Derivative Securities