Analytical Pricing Formulas

Ingo Beyna
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Ingo Beyna: Centre for Practical Quantitative Finance

Chapter Chapter 3 in Interest Rate Derivatives, 2013, pp 17-26 from Springer

Abstract: Abstract We derive analytical pricing formulas in a multifactor Cheyette model for bonds and caplets/floorlets. Further, we specify these formulas in particular one- and multifactor models. Finally, we quote semi-explicit pricing formulas for European swaptions in one-factor models.

Keywords: Interest Rate; Bond Price; Price Formula; LIBOR Rate; Interest Rate Derivative (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:lnechp:978-3-642-34925-6_3

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DOI: 10.1007/978-3-642-34925-6_3

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