arXiv 0902.34562009-02-19q-fin.PRmath.PR

On the valuation of compositions in Lévy term structure models

Wolfgang Kluge, Antonis Papapantoleon

备注：: 17 pages, 2 figures, to appear in Quant. Finance
发表信息：: Quantitative Finance 2009, Vol. 9, No. 8, 951-959

英文摘要：

We derive explicit valuation formulae for an exotic path-dependent interest rate derivative, namely an option on the composition of LIBOR rates. The formulae are based on Fourier transform methods for option pricing. We consider two models for the evolution of interest rates: an HJM-type forward rate model and a LIBOR-type forward price model. Both models are driven by a time-inhomogeneous Lévy process.

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