Valuing Early-Exercise Interest-Rate Options With Multi-Factor Affine Models
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DOI: 10.1142/S0219024913500349
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References listed on IDEAS
- Markus Bouziane, 2008. "Pricing Interest-Rate Derivatives," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-77066-4, October.
- Alan L. Lewis, 2001. "A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes," Related articles explevy, Finance Press.
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Cited by:
- Ali Al-Aradi & Alvaro Cartea & Sebastian Jaimungal, 2018. "Technical Uncertainty in Real Options with Learning," Papers 1803.05831, arXiv.org, revised Jul 2018.
- Yaowen Lu & Duy-Minh Dang, 2023. "A semi-Lagrangian $\epsilon$-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate," Papers 2310.00606, arXiv.org.
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Keywords
Interest-rate derivatives; affine models; Fourier space-time stepping; accrual swaps; range notes;All these keywords.
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