Interest Rate Option Pricing With Poisson-Gaussian Forward Rate Curve Processes |
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| Authors: | Hiroshi Shirakawa |
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| Institution: | Institute of Human and Social Sciences, Tokyo Institute of Technology, Tokyo 152, Japan |
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| 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. |
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| Keywords: | Heath Jarrow Morton model Poisson-Gaussian process interest rate options |
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