Pricing Interest-Rate Derivatives

Pricing Interest-Rate Derivatives

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The author derives an efficient and accurate pricing tool for interest-rate derivatives within a Fourier-transform based pricing approach, which is generally applicable to exponential-affine jump-diffusion models.If this is not the case, we lose characteristics of the stochastic process, which are relevant in the valuation formula and therefore ... For example, in the case of coupon-bond options, we encounter the problem of determining numerically a critical value raˆ—T90, thus making ... As in the previous section, the Fourier Transformation is performed on the payoff function, in this case with respect to the scalar g(xT).

Title:Pricing Interest-Rate Derivatives
Author: Markus Bouziane
Publisher:Springer Science & Business Media - 2008-03-18

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