EXPLICIT BOND OPTION IN HEATH JARROW MORTON MODEL WITH CONSTANT VOLATILITY
نویسندگان
چکیده
منابع مشابه
Explicit Bond Option and Swaption Formula in Heath-jarrow-morton One Factor Model
We present an explicit formula for European options on coupon bearing bonds and swaptions in the Heath-Jarrow-Morton (HJM) one factor model with non-stochastic volatility. The formula extends the Jamshidian formula for zero-coupon bonds. We provide also an explicit way to compute the hedging ratio (∆) to hedge the option with its underlying.
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This paper considers the single factor Heath-Jarrow-Morton model for the interest rate curve with stochastic volatility. Its natural formulation, described in terms of stochastic differential equations, is solved through Monte Carlo simulations, that usually involve rather large computation time, inefficient from a practical (financial) perspective. This model turns to be Markovian in three dim...
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This paper considers a class of Heath-Jarrow-Morton term structure models with stochastic volatility. These models admit transformations to Markovian systems, and consequently lend themselves to well-established solution techniques for the bond and bond option prices. Solutions for certain special cases are obtained, and compared against their non-stochastic counterparts.
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ژورنال
عنوان ژورنال: International Journal of Pure and Apllied Mathematics
سال: 2013
ISSN: 1311-8080,1314-3395
DOI: 10.12732/ijpam.v88i4.9