Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model

DOI10.1007/s11147-023-09196-4MaRDI QIDQ6154215

Patrice Gaillardetz, Ramin Eghbalzadeh, Frédéric Godin

Publication date: 19 March 2024

Published in: Review of Derivatives Research (Search for Journal in Brave)

zbMATH Keywords

swaptionsinterest rate derivativesoptions on futuresdiscrete-time arbitrage-free Nelson-Siegel modeloption excess returnsoption premium

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Stochastic duration and fast coupon bond option pricing in multi-factor models
• The affine arbitrage-free class of Nelson-Siegel term structure models
• Statistical Methods for Financial Engineering
• PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Nonlinear filtering: Interacting particle resolution
• PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
• Bond, futures and option evaluation in the quadratic interest rate model
• Changes of numéraire, changes of probability measure and option pricing
• Dark Matter in (Volatility and) Equity Option Risk Premiums
• A Survey of Sequential Monte Carlo Methods for Economics and Finance

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