IDEAS home Printed from https://ideas.repec.org/a/oup/rfinst/v15y2002i1p195-241.html
   My bibliography  Save this article

Pricing Interest Rate Derivatives: A General Approach

Author

Listed:
  • George Chacko

Abstract

The relationship between affine stochastic processes and bond pricing equations in exponential term structure models has been well established. We connect this result to the pricing of interest rate derivatives. If the term structure model is exponential affine, then there is a linkage between the bond pricing solution and the prices of many widely traded interest rate derivative securities. Our results apply to m-factor processes with n diffusions and l jump processes. The pricing solutions require at most a single numerical integral, making the model easy to implement. We discuss many options that yield solutions using the methods of the article. Copyright 2002, Oxford University Press.

Suggested Citation

  • George Chacko, 2002. "Pricing Interest Rate Derivatives: A General Approach," Review of Financial Studies, Society for Financial Studies, vol. 15(1), pages 195-241, March.
  • Handle: RePEc:oup:rfinst:v:15:y:2002:i:1:p:195-241
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:rfinst:v:15:y:2002:i:1:p:195-241. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press) or (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/sfsssea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.