Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes

Hiroshi Shirakawa

Mathematical Finance, 1991, vol. 1, issue 4, 77-94

Abstract: We study a continuous trading bond model where the associated forward rate curve follows a multidimensional Poisson‐Gaussian process. the bond market is complete, and the unique arbitrage‐free interest rate call option price is explicitly derived.

Date: 1991
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