| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0212 |
| 来源ID | Technical Working Paper 0212 |
| An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model | |
| Sanjiv Ranjan Das | |
| 发表日期 | 1997-06-01 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | Term structure models employing Poisson-Gaussian processes may be used to accommodate the observed skewness and kurtosis of interest rates. This paper extends the discrete-time, pure-Gaussian version of the Heath-Jarrow-Morton model to the pricing" of American-type bond options when the underlying term structure of interest rates follows a Poisson-Gaussian process. The Poisson-Gaussian process is specified using a hexanomial tree (six nodes emanating from each node), and the tree is shown to be recombining. The scheme is parsimonious and convergent. This model extends the class of HJM models by (i) introducing a more generalized volatility specification than has been used so far, and (ii) inducting jumps, yet retaining lattice recombination, thus making the model useful for practical applications. |
| 主题 | Financial Economics ; Financial Markets ; Microeconomics ; Mathematical Tools |
| URL | https://www.nber.org/papers/t0212 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563558 |
| 推荐引用方式 GB/T 7714 | Sanjiv Ranjan Das. An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model. 1997. |
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| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0212.pdf（1065KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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