In this paper, we focus on an implicit assumption in the BSM framework that limits the scope of market network connections to seeking gains in the currency basis, i.e., on trading strategies between the numeraire and the stock and between the numeraire and the option, separately. We relax this...

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),...