Pricing and Hedging of Swaptions: Setting up a Pricer of Interest Rate Swaptions

DOI10.1007/978-3-031-12416-7_19OpenAlexW4292470216MaRDI QIDQ6130471

Ahmed Doghmi, Driss Mentagui, Unnamed Author, Ghizlane Kouaiba

Publication date: 3 April 2024

Published in: Lecture Notes in Networks and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-031-12416-7_19

Mathematics Subject Classification ID

Fractional ordinary differential equations (34A08) Fractional partial differential equations (35R11) Fuzzy partial differential equations (35R13) Fuzzy ordinary differential equations (34A07)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• An Intertemporal General Equilibrium Model of Asset Prices
• The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
• Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization

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