Modeling of certain problems in financial mathematics: Spread option pricing |
| |
| Authors: | K P Khorev |
| |
| Institution: | (1) Faculty of Mechanics and Mathematics, Moscow State University, Vorob’evy gory, Moscow, 119992, Russia |
| |
| Abstract: | The problem of valuating exotic options, namely, the option on the spread between two forward interest rates is considered. The price of the option is derived under the assumption that the dynamics of debt instruments and the interest rates are described by the Heath-Jarrow-Morton model. The parameters of the model are estimated, and the price of the option is numerically computed based on Russian bond market data. |
| |
| Keywords: | spread option forward interest rate Health-Jarrow-Morton model probabilistic methods |
| 本文献已被 SpringerLink 等数据库收录！ |
|
