On the valuation of compositions in L\'evy term structure models

Wolfgang Kluge and Antonis Papapantoleon

Papers from arXiv.org

Abstract: We derive explicit valuation formulae for an exotic path-dependent interest rate derivative, namely an option on the composition of LIBOR rates. The formulae are based on Fourier transform methods for option pricing. We consider two models for the evolution of interest rates: an HJM-type forward rate model and a LIBOR-type forward price model. Both models are driven by a time-inhomogeneous L\'evy process.

Date: 2009-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published in Quantitative Finance 2009, Vol. 9, No. 8, 951-959

Downloads: (external link)
http://arxiv.org/pdf/0902.3456 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0902.3456

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().