Application of the Kusuoka approximation with a tree-based branching algorithm to the pricing of interest-rate derivatives under the HJM model

被引:3
|
作者
Ninomiya, Mariko
机构
关键词
D O I
10.1112/S146115700800048X
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
This paper demonstrates the application of a new higher-order weak approximation, called the Kusuoka approximation, with discrete random variables to non-commutative multi-factor models. Our experiments show that using the Heath-Jarrow-Morton model to price interest-rate derivatives can be practically feasible if the Kusuoka approximation is used along with the tree-based branching algorithm.
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页码:208 / 221
页数:14
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