Options on Bonds: Implied Volatilities from Affine Short-Rate Dynamics
| Autor: | Matthew Lorig, Natchanon Suaysom |
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| Rok vydání: | 2021 |
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| DOI: | 10.48550/arxiv.2106.04518 |
| Popis: | We derive an explicit asymptotic approximation for the implied volatilities of Call options written on bonds assuming the short-rate is described by an affine short-rate model. For specific affine short-rate models, we perform numerical experiments in order to gauge the accuracy of our approximation. Comment: 28 pages, 6 figures |
| Databáze: | OpenAIRE |
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