Chiarella, Carl
[VerfasserIn]
;
Sklibosios Nikitopoulos, Christina
[Sonstige Person, Familie und Körperschaft];
Schlögl, Erik
[Sonstige Person, Familie und Körperschaft]
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps
Erschienen in:Quantitative Finance Research Centre Research Paper Number ; No. 167
Umfang:
1 Online-Ressource (33 p)
Sprache:
Nicht zu entscheiden
DOI:
10.2139/ssrn.893085
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 2005 erstellt
Beschreibung:
This paper examines the pricing of interest rate derivatives when the interest rate dynamics experience infrequent jump shocks modelled as a Poisson process and within the Markovian HJM framework developed in Chiarella amp; Nikitopoulos (2003). Closed form solutions for the price of a bond option under deterministic volatility specifications are derived and a control variate numerical method is developed under a more general state dependent volatility structure, a case in which closed form solutions are generally not possible. In doing so, we provide a novel perspective on the control variate methods by going outside a given complex model to a simpler more tractable setting to provide the control variates