Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 3, 1998 erstellt
Description:
The most important result in this working paper is the construction of a multidimensional Gaussian interest-rate term structure model, where, based on a construction of equivalent martingale measures and a suitable selection of numerators, it is shown that it is possible to derive analytical expressions for a wide range of derived instruments.As regards the price expression for options on coupon bonds, a generalization is made of the Karoui, Myneni and Viswanathan (1993) model. The analytical expression derived here is namely a "real" analytical expression as opposed to Karoui, Myneni and Viswanathan which must be considered to be a semi-analytical expression Using numerical tests we even managed to show that this new “true” closed form formula for the pricing of options on coupon bonds even seems to be valid in a general multi-factor Markovian HJM framework