Pricing of Bond Options
A major theme of this book is the development of a consistent unified model framework for the evaluation of bond options. In general options on zero bonds (e.g. caps) and options on coupon bearing bonds (e.g. swaptions) are linked by no-arbitrage relations through the correlation structure of intere...
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| Ngôn ngữ: | English |
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Springer
2017
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| Truy cập trực tuyến: | http://repository.vnu.edu.vn/handle/VNU_123/25766 |
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oai:112.137.131.14:VNU_123-257662020-05-13T01:41:03Z Pricing of Bond Options Repplinger, Detlef Business Economics Bond Options A major theme of this book is the development of a consistent unified model framework for the evaluation of bond options. In general options on zero bonds (e.g. caps) and options on coupon bearing bonds (e.g. swaptions) are linked by no-arbitrage relations through the correlation structure of interest rates. Therefore, unspanned stochastic volatility (USV) as well as Random Field (RF) models are used to model the dynamics of entire yield curves. The USV models postulate a correlation between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a deterministic correlation structure between bond prices of different terms. Then the pricing of bond options is done either by running a Fractional Fourier Transform or by applying the Integrated Edgeworth Expansion approach. The latter is a new extension of a generalized series expansion of the (log) characteristic function, especially adapted for the computation of exercise probabilities. 2017-04-10T08:47:23Z 2017-04-10T08:47:23Z 2008 Book 978-3-540-70721-9 http://repository.vnu.edu.vn/handle/VNU_123/25766 en 141 p. application/pdf Springer |
| institution |
Đại học Quốc Gia Hà Nội |
| collection |
DSpace |
| language |
English |
| topic |
Business Economics Bond Options |
| spellingShingle |
Business Economics Bond Options Repplinger, Detlef Pricing of Bond Options |
| description |
A major theme of this book is the development of a consistent unified model framework for the evaluation of bond options. In general options on zero bonds (e.g. caps) and options on coupon bearing bonds (e.g. swaptions) are linked by no-arbitrage relations through the correlation structure of interest rates. Therefore, unspanned stochastic volatility (USV) as well as Random Field (RF) models are used to model the dynamics of entire yield curves. The USV models postulate a correlation between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a deterministic correlation structure between bond prices of different terms. Then the pricing of bond options is done either by running a Fractional Fourier Transform or by applying the Integrated Edgeworth Expansion approach. The latter is a new extension of a generalized series expansion of the (log) characteristic function, especially adapted for the computation of exercise probabilities. |
| format |
Book |
| author |
Repplinger, Detlef |
| author_facet |
Repplinger, Detlef |
| author_sort |
Repplinger, Detlef |
| title |
Pricing of Bond Options |
| title_short |
Pricing of Bond Options |
| title_full |
Pricing of Bond Options |
| title_fullStr |
Pricing of Bond Options |
| title_full_unstemmed |
Pricing of Bond Options |
| title_sort |
pricing of bond options |
| publisher |
Springer |
| publishDate |
2017 |
| url |
http://repository.vnu.edu.vn/handle/VNU_123/25766 |
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AT repplingerdetlef pricingofbondoptions |
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