A multi-factor Markovian HJM model for pricing American interest rate derivatives

被引：1
|
作者：
Kramin M.V. [1 ]
Nandi S. [2 ]
Shulman A.L. [3 ]
机构：
[1] Quantitative Analysis, Fixed Income, Wachovia Bank, Charlotte, NC 28202, 300 W 5 Street
[2] Fixed Income Research, Washington, DC, Fannie Mae
[3] Technology and Modeling, Washington, DC, Fannie Mae
来源：
Review of Quantitative Finance and Accounting | 2008年 / 31卷 / 4期
关键词：
American derivatives; Computational efficiency; Interest rate options; Lattice; Markovian HJM framework; Monte Carlo simulation; Multi-state variable multi-factor model; Recombining tree;
D O I：
10.1007/s11156-007-0078-z
中图分类号：
学科分类号：
摘要：
This article presents a numerically efficient approach for constructing an interest rate lattice for multi-state variable multi-factor term structure models in the Makovian HJM [Econometrica 70 (1992) 77] framework based on Monte Carlo simulation and an advanced extension to the Markov Chain Approximation technique. The proposed method is a mix of Monte Carlo and lattice-based methods and combines the best from both of them. It provides significant computational advantages and flexibility with respect to many existing multi-factor model implementations for interest rates derivatives valuation and hedging in the HJM framework. © 2007 Springer Science+Business Media, LLC.
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页码：359 / 378
页数：19
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