Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model

被引：0
|
作者：
Godin, Frederic [1 ,2 ]
Eghbalzadeh, Ramin [1 ]
Gaillardetz, Patrice [1 ,2 ]
机构：
[1] Concordia Univ, Dept Math & Stat, Montreal, PQ, Canada
[2] Quantact Lab, Ctr Rech Math, Montreal, PQ, Canada
来源：
REVIEW OF DERIVATIVES RESEARCH | 2023年 / 26卷 / 2-3期
基金：
加拿大自然科学与工程研究理事会;
关键词：
Interest rate derivatives; Swaptions; Options on futures; Option premium; Option excess returns; Discrete-time arbitrage-free Nelson-Siegel model; E43; G13; BOND OPTIONS;
D O I：
10.1007/s11147-023-09196-4
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The paper outlines pricing procedures for several interest rate derivatives under the discrete-time arbitrage-free Nelson-Siegel (DTAFNS) model of Eghbalzadeh et al. (The discrete-time arbitrage-free Nelson-Siegel model: a closed-form solution and applications to mixed funds representation, 2022). Derivatives considered include swaptions, zero-coupon futures, and options on such futures. Formulas for expected excess returns are also provided for options on futures. Whereas swaption pricing relies on Monte-Carlo simulation, closed-form formulas are obtained for all other derivatives.
引用
收藏
页码：171 / 206
页数：36
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