Approximations of Bond and Swaption Prices in a Black-Karasi\'{n}ski Model
| Autor: | Daniluk, Andrzej, Muchorski, Rafał |
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| Rok vydání: | 2015 |
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| Druh dokumentu: | Working Paper |
| Popis: | We derive semi-analytic approximation formulae for bond and swaption prices in a Black-Karasi\'{n}ski interest rate model. Approximations are obtained using a novel technique based on the Karhunen-Lo\`{e}ve expansion. Formulas are easily computable and prove to be very accurate in numerical tests. This makes them useful for numerically efficient calibration of the model. |
| Databáze: | arXiv |
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