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Interest Rate Option Pricing With Poisson-Gaussian Forward Rate Curve Processes

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  • Hiroshi Shirakawa

Abstract

We study a continuous trading bond model where the associated forward rate curve follows a multidimensional Poisson-Gaussian process. the bond market is complete, and the unique arbitrage-free interest rate call option price is explicitly derived. Copyright 1991 Blackwell Publishers.

Suggested Citation

  • Hiroshi Shirakawa, 1991. "Interest Rate Option Pricing With Poisson-Gaussian Forward Rate Curve Processes," Mathematical Finance, Wiley Blackwell, vol. 1(4), pages 77-94.
  • Handle: RePEc:bla:mathfi:v:1:y:1991:i:4:p:77-94
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    References listed on IDEAS

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