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A multi-factor Markovian HJM model for pricing American interest rate derivatives

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  • Marat Kramin

    ()

  • Saikat Nandi

    ()

  • Alexander Shulman

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11156-007-0078-z
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    Bibliographic Info

    Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

    Volume (Year): 31 (2008)
    Issue (Month): 4 (November)
    Pages: 359-378

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    Handle: RePEc:kap:rqfnac:v:31:y:2008:i:4:p:359-378

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    Web page: http://springerlink.metapress.com/link.asp?id=102990

    Related research

    Keywords: Monte Carlo simulation; Lattice; Recombining tree; American derivatives; Markovian HJM framework; Multi-state variable multi-factor model; Interest rate options; Computational efficiency; G13;

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    References

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    1. Li, Anlong & Ritchken, Peter & Sankarasubramanian, L, 1995. " Lattice Models for Pricing American Interest Rate Claims," Journal of Finance, American Finance Association, vol. 50(2), pages 719-37, June.
    2. Marat Kramin & Timur Kramin & Stephen Young & Venkat Dharan, 2005. "A Simple Induction Approach and an Efficient Trinomial Lattice for Multi-State Variable Interest Rate Derivatives Models," Review of Quantitative Finance and Accounting, Springer, vol. 24(2), pages 199-226, January.
    3. Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
    4. Broadie, Mark & Glasserman, Paul, 1997. "Pricing American-style securities using simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1323-1352, June.
    5. Les Clewlow & Chris Strickland, 1998. "Pricing Interest Rate Exotics in Multi-Factor Gaussian Interest Rate Models," Research Paper Series 2, Quantitative Finance Research Centre, University of Technology, Sydney.
    6. Barraquand, Jérôme & Martineau, Didier, 1995. "Numerical Valuation of High Dimensional Multivariate American Securities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(03), pages 383-405, September.
    7. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
    8. Peter Ritchken & L. Sankarasubramanian, 1995. "Volatility Structures Of Forward Rates And The Dynamics Of The Term Structure," Mathematical Finance, Wiley Blackwell, vol. 5(1), pages 55-72.
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    Cited by:
    1. I.-Doun Kuo, 2011. "Pricing and hedging volatility smile under multifactor interest rate models," Review of Quantitative Finance and Accounting, Springer, vol. 36(1), pages 83-104, January.

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