Interest rate option pricing with volatility humps

A development of a simple model in which interest rate claims are priced in the Heath-Jarrow-Morton paradigm and so incorporate full information on the term structure. The volatility structure for forward rates is humped and includes as a special case the exponentially dampened volatility structure used in the generalized Vasicek model.

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Year of publication:	1997
Authors:	Ritchken, Peter ; Chuang, Iyuan
Institutions:	Federal Reserve Bank of Cleveland
Subject:	Interest rates \| Options (Finance)

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Extent:	application/pdf
Series:	Working Paper.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 9714
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005526596