Interest Rate Option Pricing With Poisson-Gaussian Forward Rate Curve Processes
We study a continuous trading bond model where the associated forward rate curve follows a multidimensional Poisson-Gaussian process. the bond market is complete, and the unique arbitrage-free interest rate call option price is explicitly derived. Copyright 1991 Blackwell Publishers.
Year of publication: |
1991
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Authors: | Shirakawa, Hiroshi |
Published in: |
Mathematical Finance. - Wiley Blackwell, ISSN 0960-1627. - Vol. 1.1991, 4, p. 77-94
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Publisher: |
Wiley Blackwell |
Saved in:
freely available
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