Pricing Interest Rate Derivatives With Arbitrary Skewness And Kurtosis
Download Pricing Interest Rate Derivatives With Arbitrary Skewness And Kurtosis full books in PDF, epub, and Kindle. Read online free Pricing Interest Rate Derivatives With Arbitrary Skewness And Kurtosis ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Pricing Interest Rate Derivatives with Arbitrary Skewness and Kurtosis
Author | : Sanjiv R. Das |
Publisher | : |
Total Pages | : 31 |
Release | : 1995 |
Genre | : |
ISBN | : |
Download Pricing Interest Rate Derivatives with Arbitrary Skewness and Kurtosis Book in PDF, Epub and Kindle
Term structure models employing jump-diffusion processes may be used to accommodate the observed skewness and kurtosis of interest rates. This paper extends the discrete-time, pure-diffusion version of the Heath-Jarrow-Morton model to the pricing of American bond options when the underlying term structure of interest rates follows a jump-diffusion process. The jump-diffusion process is specified using a hexanomial tree (six nodes emanating from each node), and the tree is shown to be recombining. This feature of the tree ensures path-independence. The scheme is parsimonious, accurate and convergent. A fairly general class of time-dependent volatilities preserving path independence and providing mean revision is shown to be attainable even under this enhanced jump-diffusion framework.
Pricing Interest Rate Derivatives with Arbitrary Skewness and Kurtosis Related Books
Pages: 31
Pages: 31
Pages: 21
Pages: 358
Pages: 488