Review of Derivatives Research ( IF 0.786 ) Pub Date : 2023-10-04 , DOI: 10.1007/s11147-023-09196-4 Frédéric Godin , Ramin Eghbalzadeh , Patrice Gaillardetz
The paper outlines pricing procedures for several interest rate derivatives under the discrete-time arbitrage-free Nelson–Siegel (DTAFNS) model of Eghbalzadeh et al. (The discrete-time arbitrage-free Nelson–Siegel model: a closed-form solution and applications to mixed funds representation, 2022). Derivatives considered include swaptions, zero-coupon futures, and options on such futures. Formulas for expected excess returns are also provided for options on futures. Whereas swaption pricing relies on Monte-Carlo simulation, closed-form formulas are obtained for all other derivatives.
中文翻译:
离散时间无套利尼尔森-西格尔模型下的互换期权和零息期货期权定价
本文概述了 Eghbalzadeh 等人的离散时间无套利 Nelson-Siegel (DTAFNS) 模型下几种利率衍生品的定价程序。 (离散时间无套利尼尔森-西格尔模型:封闭式解决方案和混合基金表示的应用,2022 年)。考虑的衍生品包括掉期期权、零息期货以及此类期货的期权。还为期货期权提供了预期超额收益的公式。掉期期权定价依赖于蒙特卡罗模拟,而所有其他衍生品都获得了封闭式公式。