Compound and exchange options in the affine term structure model
Author:
O. Scaillet a
| Affiliation: | a CREST (Centre de Recherche en Economie et Statistique), Laboratore de Finance-Assonance, Melekoff Cedex, France |
DOI:
10.1080/13504869600000004
Publication Frequency:
6 issues per year
Formats available:
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(English)
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Abstract
We present explicit formulae allowing us to price compound and exchange options in the framework of the affine term structure model. The various proposed options deal with discount bonds, coupon bonds and yields. A probabilistic approach is adopted in order to find closed-form pricing formulae. We also give some numerical examples of their use in credit loans.
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| Keywords: term structure; compound option; exchange option; affine model |
| view references (21) |

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