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 Cet article a éte moissonné depuis la source Institute of Mathematics Polish Academy of Sciences

Voir la notice de l'article

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 
@article{10_4064_am28_2_7,
     author = {P. Sztuba and A. Weron},
     title = {Pricing forward-start options
in the {HJM} framework;
evidence from the {Polish} market},
     journal = {Applicationes Mathematicae},
     pages = {211--224},
     year = {2001},
     volume = {28},
     number = {2},
     doi = {10.4064/am28-2-7},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.4064/am28-2-7/}
}
TY  - JOUR
AU  - P. Sztuba
AU  - A. Weron
TI  - Pricing forward-start options
in the HJM framework;
evidence from the Polish market
JO  - Applicationes Mathematicae
PY  - 2001
SP  - 211
EP  - 224
VL  - 28
IS  - 2
UR  - http://geodesic.mathdoc.fr/articles/10.4064/am28-2-7/
DO  - 10.4064/am28-2-7
LA  - en
ID  - 10_4064_am28_2_7
ER  - 
%0 Journal Article
%A P. Sztuba
%A A. Weron
%T Pricing forward-start options
in the HJM framework;
evidence from the Polish market
%J Applicationes Mathematicae
%D 2001
%P 211-224
%V 28
%N 2
%U http://geodesic.mathdoc.fr/articles/10.4064/am28-2-7/
%R 10.4064/am28-2-7
%G en
%F 10_4064_am28_2_7
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

Cité par Sources :