When pricing an in-arrears term structure product, the valuation usually boils down to determining the price of a vanilla product and of some additional part. To computer the price of the additional part, sometimes a specific term structure (like Gaussian or LIBOR) is assumed. Sometimes...

The departure in modelling terms from the log-normal distribution for option pricing has been largely driven by empirical observations on skewness. In recent years, the Weibull and generalized beta distributions have been used to fit the risk-neutral density from option prices. In this article,...