Pricing interest rate derivatives: A general approach

• 成果类型: Article
• 署名作者: Chacko, G; Das, S
• 署名单位: Harvard University; Santa Clara University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/15.1.195
• 发表日期: 2002
• 页码: 195
• 关键词: term structure; stochastic volatility; MODEL; options; bond; DYNAMICS

摘要

The relationship between affine stochastic processes and bond pricing equations in exponential term structure models has been well established. We connect this result to the pricing of interest rate derivatives. If the term structure model is exponential affine, then there is a linkage between the bond pricing solution and the prices of many widely traded interest rate derivative securities. Our results apply to m-factor processes with n diffusions and I jump processes. The pricing solutions require at most a single numerical integral, making the model easy to implement. We discuss many options that yield solutions using the methods of the article.