This paper examines the pricing of interest rates derivatives such as caps and
swaptions in the pricing kernel framework. The underlying state variable is extended
to the general infinitely divisible Levy process. For computational purposes, a
simple pricing kernel as in Flesaker and Hughston (1996) and Jin and Glasserman
(2001) is used.
게시판
공지사항
[2002년 제 2차] Interest-Rate Derivatives Pricing in the Positive I
작성자 : 관리자
조회수 : 823
게시일 :
2003-07-12
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