Interest rate options valuation under incomplete information

被引：2
|
作者：
Mellios, Constantin [1 ]
机构：
[1] Univ Cergy Pontoise, THEMA, F-95011 Cergy Pontoise, France
来源：
ANNALS OF OPERATIONS RESEARCH | 2007年 / 151卷 / 01期
关键词：
general equilibrium; term structure of interest rates; incomplete information; filtering theory; option prices;
D O I：
10.1007/s10479-006-0128-2
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
This paper aims at examining the term structure of interest rates and European-type interest rate option prices in a partially observable economy. It extends the existing literature on incomplete information by developing a one-factor model which is consistent with the initial yield curve and by providing closed-form solutions for discount bonds and different kinds of options. The model of this paper encompasses Hull and White's (1990). Moreover, through a numerical example, these two models are compared and the impact of incomplete information on option prices is analysed.
引用
收藏
页码：99 / 117
页数：19
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