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Valuation of quanto options in a Markovian regime-switching market : a Markov-modulated Gaussian HJM model

Chen, Son-nan; Chiang, Mi-hsiu; Hsu, Pao-peng; Li, Chang-yi - In: Finance research letters 11 (2014) 2, pp. 161-172

Persistent link: https://www.econbiz.de/10010441191

Effective Markovian projection : application to CMS spread options and mid-curve swaptions

Felpel, Mike; Kienitz, Jörg; McWalter, Thomas A. - In: Quantitative finance 22 (2022) 6, pp. 1169-1192

Persistent link: https://www.econbiz.de/10013367891

Pricing swaptions and coupon bond options in affine term structure models

Schrager, David F.; Pelsser, Antoon André Jean - In: Mathematical finance : an international journal of … 16 (2006) 4, pp. 673-694

Persistent link: https://www.econbiz.de/10003394188

Pricing a Callable Leveraged Constant Maturity Swap Spread Note

Chertok, Daniel L. - 2012

A callable leveraged constant maturity swap (CMS) spread note allows the holder to benefit from future changes in the … spread between two swap interest rates. The issues retains the right to call the note at pre-specified times in the future …

Persistent link: https://www.econbiz.de/10013098211

Valuation of callable accreting interest rate swaps : least squares Monte-Carlo method under Hull-White interest rate model

Tang, Kin Boon; Zheng, Wen-Jie; Lin, Chao-Yang; Lin, … - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10012821303

Numerical Solutions of PIDEs for the Prices of Bond Options, Swaps, Caps and Floors for Levy-Based Stochastic Interest Rate Models

Malyarenko, Anatoliy - 2010

In this paper, we show numerically how to calculate the price of bond options, swaps, caps and floors for Levy one-factor stochastic interest rate models via partial integro-differential equations (PIDE). These models include, in particular, Ornshtein-Uhlenbeck (1930), Vasicek (1977),...

Persistent link: https://www.econbiz.de/10013144189