Pricing forward-start options in the HJM framework; evidence from the Polish market

• Autorzy: P. Sztuba , A. Weron
• Języki publikacji: EN

Abstrakty

EN

We show how to use the Gaussian HJM model to price modified forward-start options. Using data from the Polish market we calibrate the model and price this exotic option on the term structure. The specific problems of Central Eastern European emerging markets do not permit the use of the popular lognormal models of forward LIBOR or swap rates. We show how to overcome this difficulty.

Kategorie tematyczne

• 60G44: Martingales with continuous parameter
• 60H30: Applications of stochastic analysis (to PDE, etc.)

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2001
• Tom: 28
• Numer: 2
• Strony: 211-224

Daty

wydano

2001

Twórcy

autor

P. Sztuba

• Hugo Steinhaus Center for Stochastic Methods
• Institute of Mathematics, Wrocław University of Technology, 50-370 Wrocław, Poland

autor

A. Weron

• Hugo Steinhaus Center, for Stochastic Methods, and Institute of Mathematics, Wroclaw University of Technology, 50-370 Wroclaw, Poland

Identyfikatory

DOI

10.4064/am28-2-7