Bond Option Valuation for Non-Markovian Interest Rate Processes
โ Scribed by Joel R. Barber
- Book ID
- 109178194
- Publisher
- John Wiley and Sons
- Year
- 2005
- Tongue
- English
- Weight
- 120 KB
- Volume
- 40
- Category
- Article
- ISSN
- 0732-8516
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
American option for interest rate caps and coupon bonds are analyzed in the formalism of quantum finance. Calendar time and future time are discretized to yield a lattice field theory of interest rates that provides an efficient numerical algorithm for evaluating the price of American options. The a
factors explicitly into account for a proper valuation and risk management of these securities. The performed analysis is facilitated by deriving closed-form formulas for the valuation of forward starting options, hereby taking the stochastic volatility, stochastic interest rates as well the depende