Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson

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Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model

Published:2023-10 Issue:2-3 Volume:26 Page:171-206
ISSN:1380-6645
Container-title:Review of Derivatives Research
language:en
Short-container-title:Rev Deriv Res

Author:

Godin Frédéric^ORCID,Eghbalzadeh Ramin,Gaillardetz Patrice

Funder

Natural Sciences and Engineering Research Council of Canada

Publisher

Springer Science and Business Media LLC

Subject

Economics, Econometrics and Finance (miscellaneous),Finance

Link

https://link.springer.com/content/pdf/10.1007/s11147-023-09196-4.pdf

Reference23 articles.

1. Bakshi, G., Crosby, J., Gao, X., & Hansen, J. W. (2023). Treasury option returns and models with unspanned risks. Journal of Financial Economics(forthcoming).

2. Bakshi, G., Crosby, J., & Gao, X. (2022). Dark matter in (volatility and) equity option risk premiums. Operations Research, 70(6), 3108–3124.

3. Björk, T. (2009). Arbitrage theory in continuous time. Oxford University Press.

4. Black, F., Derman, E., & Toy, W. (1990). A one-factor model of interest rates and its application to treasury bond options. Financial Analysts Journal, 46(1), 33–39.

5. Black, F., & Karasinski, P. (1991). Bond and option pricing when short rates are lognormal. Financial Analysts Journal, 47(4), 52–59.

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