抄録
We consider the effect on zero-coupon bond price and option valuation when a short rate model has non-Gaussian dependent innovations. Higher-order asymptotic theory enables approximate bond price formula and zero-coupon bond option price formula to be obtained. Some numerical examples are presented, where the process of innovation follows a particular model. These examples indicate that non-Gaussianity and dependence of innovations have a great influence on both zero-coupon bond price and option valuation.
| 本文言語 | English |
|---|---|
| ホスト出版物のタイトル | Interest Rates |
| ホスト出版物のサブタイトル | Term Structure Models, Monetary Policy, and Prediction |
| 出版社 | Nova Science Publishers, Inc. |
| ページ | 19-61 |
| ページ数 | 43 |
| ISBN（印刷版） | 9781613247204 |
| 出版ステータス | Published - 2013 1月 1 |
ASJC Scopus subject areas
- 経済学、計量経済学および金融学（全般）
- 社会科学（全般）