NO-ARBITRAGE IN HEATH-JARROW-MORTON MODEL AND THE BOND PRICING EQUATION
نویسندگان
چکیده
منابع مشابه
The Heath - Jarrow - Morton Framework
The Heath-Jarrow-Morton framework refers to a class of models that are derived by directly modeling the dynamics of instantaneous forward-rates. The central insight of this framework is to recognize that there is an explicit relationship between the drift and volatility parameters of the forward-rate dynamics in a no-arbitrage world. The familiar short-rate models can be derived in the HJM fram...
متن کاملImportance Sampling in the Heath-jarrow-morton Framework Importance Sampling in the Heath-jarrow-morton Framework
LIMITED DISTRIBUTION NOTICE: This report has been submitted for publication outside of IBM and will probably be copyrighted if accepted for publication. It has been issued as a Research Report for early dissemination of its contents. In view of the transfer of copyright to the outside publisher, its distribution outside of IBM prior to publication should be limited to peer communications and sp...
متن کاملExplicit 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.
متن کاملImportance Sampling in the Heath-Jarrow-Morton Framework
FALL 1999 This article develops a variance-reduction technique for pricing derivatives by simulation in highdimensional multifactor models. A premise of this work is that the greatest gains in simulation efficiency come from taking advantage of the structure of both the cash flows of a security and the model in which it is priced. For this to be feasible in practice requires automating the iden...
متن کاملOn a Heath-Jarrow-Morton approach for stock options
This paper aims at transferring the philosophy behind Heath-Jarrow-Morton to the modelling of call options with all strikes and maturities. Contrary to the approach by Carmona and Nadtochiy [8] and related to the recent contribution [10] by the same authors, the key parametrisation of our approach involves time-inhomogeneous Lévy processes instead of local volatility models. We provide necessar...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Apllied Mathematics
سال: 2016
ISSN: 1311-1728,1314-8060
DOI: 10.12732/ijam.v29i5.6