Path dependent options on yields in the affine term structure model | Zendy

Boris Leblanc | Zendy; Olivier Scaillet | Zendy

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Path dependent options on yields in the affine term structure model

Author(s) -

Boris Leblanc,

Olivier Scaillet

Publication year - 1998

Publication title -

finance and stochastics

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 1.949

H-Index - 50

eISSN - 1432-1122

pISSN - 0949-2984

DOI - 10.1007/s007800050045

Subject(s) - mathematical finance , affine transformation , term (time) , mathematics , path (computing) , path dependent , valuation of options , mathematical economics , econometrics , computer science , pure mathematics , economics , finance , physics , quantum mechanics , programming language

. We give analytical pricing formulae for path dependent options on yields in the framework of the affine term structure model. More precisely, European call options such as the arithmetic average call, the call on maximum and the lookback call are examined. For the two last options approximate formulae using the law of hitting times of an Ornstein-Uhlenbeck process are proposed. Numerical implementation is also briefly discussed and results are given in the case of the arithmetic average option.

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