Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 22, 2023 erstellt
Beschreibung:
The paper outlines Monte-Carlo simulation procedures for the pricing of swaptions under the discrete-time arbitrage-free Nelson-Siegel (DTAFNS) model of Eghbalzadeh et al. (2022). In particular, the forward measure dynamics of term structure factors are derived, leading to a semi-analytic expression for swaption prices. Such expression circumvents the need to simulate entire paths of interest rates, therefore enabling very fast estimation through simulation