Pricing of Game Options in a market with stochastic interest rates

Game contingent claims;Stochastic interest rates;Stochastic financial models;Option pricing;Dynkin games;Standard market model;Bootstraping of interest rate data;Calibration of interest rate models

Hernandez Urena, Luis Gustavo ; Mathematics

University:Georgia Institute of Technology

Department:Mathematics

关键词: Game contingent claims;    Stochastic interest rates;    Stochastic financial models;    Option pricing;    Dynkin games;    Standard market model;    Bootstraping of interest rate data;    Calibration of interest rate models;   

Others  :  https://smartech.gatech.edu/bitstream/1853/7005/1/hernandezurena_luisgustavo_200505_pdh.pdf

美国|英语

来源: SMARTech Repository

【 摘 要 】

Anin depth study of the pricing of Game contingentclaimsunder a general diffusionmarket model,in whichinterest rate is non constant, is presented.With theideaof providing a fewnumerical examples ofthevaluationof such claims, wepresentadetaileddescription of a Bootstrapping procedure to obtaininterest rate informationfromSwapsrates. We also presentaStripping procedure that can be used toobtain initial spot(caplet) volatilityfrom Market quotes onCaps/FLoors. These methods areof general applicationand could be used in the calibration ofdiffusion modelsof interest rate.Then we show severalexamplesofcalibration of theHull--Whitemodel of interest rates.Our calibrationexamples are later used in the numerical approximation ofthe value of a particular form of Game option.