Swaption Pricing under the Discrete-Time Arbitrage-Free Nelson-Siegel Model

The paper outlines Monte-Carlo simulation procedures for the pricing of swaptions under the discrete-time arbitrage-free Nelson-Siegel (DTAFNS) model of Eghbalzadeh et al. (2022). In particular, the forward measure dynamics of term structure factors are derived, leading to a semi-analytic expression for swaption prices. Such expression circumvents the need to simulate entire paths of interest rates, therefore enabling very fast estimation through simulation

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Year of publication:	[2023]
Authors:	Eghbalzadeh, Ramin ; Godin, Frédéric ; Gaillardetz, Patrice
Publisher:	[S.l.] : SSRN
Subject:	Zinsstruktur \| Yield curve \| Optionspreistheorie \| Option pricing theory \| Arbitrage Pricing \| Arbitrage pricing \| Volatilität \| Volatility \| CAPM

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