Numerical Solutions of PIDEs for the Prices of Bond Options, Swaps, Caps and Floors for Levy-Based Stochastic Interest Rate Models

In this paper, we show numerically how to calculate the price of bond options, swaps, caps and floors for Levy one-factor stochastic interest rate models via partial integro-differential equations (PIDE). These models include, in particular, Ornshtein-Uhlenbeck (1930), Vasicek (1977), Cox-Ingersoll-Ross (1985), continuous-time GARCH, Ho-Lee (1986) and Hull-White (1990) models. We use Matache et al (2006) approach to solve numerically the PIDEs

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Year of publication:	2010
Authors:	Malyarenko, Anatoliy
Other Persons:	Swishchuk, Anatoliy V. (contributor)
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory \| Zinsderivat \| Interest rate derivative \| Zinsstruktur \| Yield curve \| Swap \| Anleihe \| Bond \| Derivat \| Derivative \| Stochastischer Prozess \| Stochastic process \| Optionsgeschäft \| Option trading

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