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An efficient generalized discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model

Author: Sanjiv R Das; National Bureau of Economic Research.
Publisher: Cambridge, MA. : National Bureau of Economic Research, [1997]
Series: NBER technical working papers, no. 212.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
Abstract: Term structure models employing Poisson-Gaussian processes may be used to accommodate the observed skewness and kurtosis of interest rates. This paper extends the discrete-time, pure-Gaussian version of the Heath-Jarrow-Morton model to the pricing" of American-type bond options when the underlying term structure of interest rates follows a Poisson-Gaussian process. The Poisson-Gaussian process is specified  Read more...
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Additional Physical Format: Print version:
Das, Sanjiv R. (Sanjiv Ranjan).
Efficient generalized discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model.
Cambridge, MA. : National Bureau of Economic Research, [1997]
(OCoLC)37258875
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Sanjiv R Das; National Bureau of Economic Research.
OCLC Number: 647553311
Reproduction Notes: Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010. MiAaHDL
Description: 1 online resource (42 pages) : illustrations.
Details: Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Series Title: NBER technical working papers, no. 212.
Responsibility: Sanjiv Ranjan Das.

Abstract:

Abstract: Term structure models employing Poisson-Gaussian processes may be used to accommodate the observed skewness and kurtosis of interest rates. This paper extends the discrete-time, pure-Gaussian version of the Heath-Jarrow-Morton model to the pricing" of American-type bond options when the underlying term structure of interest rates follows a Poisson-Gaussian process. The Poisson-Gaussian process is specified using a hexanomial tree (six nodes emanating from each node), and the tree is shown to be recombining. The scheme is parsimonious and convergent. This model extends the class of HJM models by (i) introducing a more generalized volatility specification than has been used so far, and (ii) inducting jumps, yet retaining lattice recombination, thus making the model useful for practical applications.

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