Swaption Pricing Under Affine Interest Rate Models
More Info
expand_more
Other than for strictly personal use, it is not permitted to download, forward or distribute the text or part of it, without the consent of the author(s) and/or copyright holder(s), unless the work is under an open content license such as Creative Commons.
Abstract
In this thesis, we will analyze swaptions whose short term interest rates are assumed to follow some affine models with dimension of factors more than two, so called multiple-factor interest rate models. Considering there is generally no analytical swaption price, we attempt to approximate it, and our discussion will focus on one of these approximation method proposed by Collin-Dufresne and Goldstein. I implement and develop this method by providing an accurate measure of approximation errors. Besides, there are several of my innovation and research recommendations on my last chapter with respect to other methods to price swaptions.