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- W2273318934 abstract "Swaptions are commonly traded to hedge the risk of the fluctuation of the interest rate. In the literature, several approximation methods have been proposed to price swaptions under affine term structure framework. However, none of them were able to provide a measure of pricing errors. In this paper, we develop the method of Collin-Dufresne and Goldstein, based on Edgeworth expansion, by providing an accurate measure of pricing errors, and we analyze it from two perspectives. Our numerical result demonstrates that it is accurate for swaptions whose underlying interest rate follows the Three-factor Gaussian model." @default.
- W2273318934 created "2016-06-24" @default.
- W2273318934 creator A5004924346 @default.
- W2273318934 date "2013-01-01" @default.
- W2273318934 modified "2023-09-27" @default.
- W2273318934 title "Method for Swaption Pricing Under A ffine Term Structure Models and Measure of Errors" @default.
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- W2273318934 doi "https://doi.org/10.2139/ssrn.2351162" @default.
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