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Two approaches for stochastic interest rate option model

김영희|현정순
대한수학회 (The Korean Mathematical Society)|2006.07|대한수학회지 (Journal of the KMS)|제43권 제4호|pp. 845-858

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주제분류수학

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Abstract

We present two approaches of the stochastic interest rate Europeanoption pricing model. One is a bond numeraire approach which isapplicable to a nonzero value asset. In this approach, we assumelog-normality of returns of the asset normalized by a bond whosematurity is the same as the expiration date of an option insteadthat of an asset itself. Another one is the expectation hypothesisapproach for value zero asset which has futures-style margining.Bond numeraire approach allows us to calculate volatilitiesimplied in options even though stochastic interest rate is

참고문헌 (12)

  1. I. A. Amin, "Pricing foreign currency options under stochastic interest rates", 10, pp.310~ (1991)
  2. F. Black, "The pricing of commodity contracts", 3, pp.167~ (1976)
  3. F. Black, "The pricing of options andcorporate liabilities", 81, pp.637~ (1973)
  4. "Stochastic volatility for levy processes", 13, pp.345~482 (2003)
  5. "Foreign currency option values", 2, pp.231~ (1983)
  6. S. L. Heston, "A closed-form solution for options withstochastic volatility with applications to bond and currencyoptions", 6, pp.327~ (1993)
  7. "Interest rate parity andcurrency option price" (2005)
  8. "What is the Correct Meaning OfImplied Volatility?" (2005)
  9. "The value of an option to exchange one assetfor another", 33, pp.177~ (1978)
  10. "Theory of rational option pricing", 4, pp.141~ (1973)
  11. "The valuation of optionson futures contracts", 40, pp.1319~ (1985)
  12. "Pricing options under generalized GARCHand stochastic volatility processes", 54, pp.377~402 (1999)

관련 논문AI추천

Pricing Call Options under Stochastic VolatilitiesChangMoAhn, D.ChinhyungCho경제연구소 · Seoul Journal of Economics2002 · 제15권 제4호The Market Price of Risk on the Levy Interest Rate Model김윤태, 이준희경제연구소 · Journal of Economic Research (JER)2004 · 제9권 제1호Approximations of option prices for a jump-diffusion model위인숙대한수학회 · 대한수학회지2006 · 제43권 제2호The Pricing of Option on Bond ForwardsChang Mo Ahn, D. Chinhyung Cho경제연구소 · Seoul Journal of Economics2005 · 제18권 제4호The pricing of quanto options under the Vasicek's short rate model이영록, 이재성대한수학회 · 대한수학회논문집2016 · 제31권 제2호Error estimates for option prices in jump-diffusion models위인숙대한수학회 · 대한수학회보2002 · 제39권 제4호

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