Path-Dependent Interest Rate Option Pricing with Jumps and Stochastic Intensities

Autor:	João Felipe da Silva Bragança, Allan Jonathan da Silva, Jack Baczynski
Rok vydání:	2019
Předmět:	Series (mathematics) Valuation of options Ordinary differential equation Jump Applied mathematics Affine transformation Interest rate option Series expansion Fourier series Mathematics
Zdroj:	Lecture Notes in Computer Science ISBN: 9783030227494 ICCS (5)
DOI:	10.1007/978-3-030-22750-0_69
Popis:	We derive numerical series representations for option prices on interest rate index for affine jump-diffusion models in a stochastic jump intensity framework with an adaptation of the Fourier-cosine series expansions method, focusing on the European vanilla derivatives. We give the price for nine different Ornstein-Uhlenbeck models enhanced with different jump size distributions. The option prices are accurately and efficiently approximated by solving the corresponding set ordinary differential equations and parsimoniously truncating the Fourier series.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::c495903664feacba6f5b0a762fe9644f https://doi.org/10.1007/978-3-030-22750-0_69 Zobrazit plný text záznamu