VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS

DOI10.1111/j.1467-9965.2006.00270.xzbMath1145.91023OpenAlexW2008476840MaRDI QIDQ5488974

Ernst Eberlein, Wolfgang Kluge

Publication date: 25 September 2006

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00270.x

zbMATH Keywords

Lévy processchange of probability measurebilateral Laplace transformterm-structure modelinterest rate digital optionrange note

Mathematics Subject Classification ID

Related Items (14)

Real-World Forward Rate Dynamics With Affine Realizations ⋮ Kernel-correlated Lévy field driven forward rate and application to derivative pricing ⋮ A multiple-curve HJM model of interbank risk ⋮ A pure-jump mean-reverting short rate model ⋮ A finite-interval uniqueness theorem for bilateral Laplace transforms ⋮ Existence of Lévy term structure models ⋮ Analysis of Fourier Transform Valuation Formulas and Applications ⋮ A Unified View of LIBOR Models ⋮ Cointegrated Commodity Markets and Pricing of Derivatives in a Non-Gaussian Framework ⋮ SYMMETRIES IN LÉVY TERM STRUCTURE MODELS ⋮ On the valuation of compositions in Lévy term structure models ⋮ Valuing qualitative options with stochastic volatility ⋮ VALUING EARLY-EXERCISE INTEREST-RATE OPTIONS WITH MULTI-FACTOR AFFINE MODELS ⋮ Rational term structure models with geometric Lévy martingales

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Variance-optimal hedging for processes with stationary independent increments
• Lévy term structure models: no-arbitrage and completeness
• Term Structure Models Driven by General Levy Processes
• The Defaultable Lévy Term Structure: Ratings and Restructuring
• MultiFactor Valuation of Floating Range Notes

This page was built for publication: VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS