Approximations of bond and swaption prices in a Black-Karasinski model
Andrzej Daniluk (Institute of Mathematics, Jagiellonian University, Krakow, Poland), Rafał Muchorski (Risk Management Department, TUiR Allianz Polska SA, Warsaw, Poland)
| Year of publication: |
May 2016
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|---|---|
| Authors: | Daniluk, Andrzej ; Muchorski, Rafał |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 3, p. 1-32
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| Subject: | Stochastic processes | derivative pricing | Black-Karasi´nski model | Karhunen-Loève expansion | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Anleihe | Bond | Zinsstruktur | Yield curve | Volatilität | Volatility | Swap |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024916500175 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011523750