Geodesic
Pricing forward-start options in the HJM framework; evidence from the Polish market
P. Sztuba1 ; A. Weron2
1 Hugo Steinhaus Center for Stochastic Methods and Institute of Mathematics Wroc/law University of Technology 50-370 Wroc/law, Poland
2 Hugo Steinhaus Center for Stochastic Methods and Institute of Mathematics Wroclaw University of Technology 50-370 Wroclaw, Poland
Applicationes Mathematicae, Tome 28 (2001) no. 2, pp. 211-224.

Voir la notice de l'article provenant de la source Institute of Mathematics Polish Academy of Sciences

We show how to use the Gaussian HJM model to price modified forward-start options. Using data from the Polish market we calibrate the model and price this exotic option on the term structure. The specific problems of Central Eastern European emerging markets do not permit the use of the popular lognormal models of forward LIBOR or swap rates. We show how to overcome this difficulty.
DOI : 10.4064/am28-2-7
Keywords: gaussian hjm model price modified forward start options using polish market calibrate model price exotic option term structure specific problems central eastern european emerging markets permit popular lognormal models forward libor swap rates overcome difficulty

P. Sztuba 1 ; A. Weron 2

1 Hugo Steinhaus Center for Stochastic Methods and Institute of Mathematics Wroc/law University of Technology 50-370 Wroc/law, Poland
2 Hugo Steinhaus Center for Stochastic Methods and Institute of Mathematics Wroclaw University of Technology 50-370 Wroclaw, Poland 
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evidence from the Polish market
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P. Sztuba; A. Weron. Pricing forward-start options
in the HJM framework;
evidence from the Polish market. Applicationes Mathematicae, Tome 28 (2001) no. 2, pp. 211-224. doi : 10.4064/am28-2-7. http://geodesic.mathdoc.fr/articles/10.4064/am28-2-7/

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