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Pricing and Hedging Asian Options on Interest Rates

Author

Listed:
  • Patrice Poncet

    (EM - EMLyon Business School)

  • François Quittard-Pinon

Abstract

En utilisant l'approche martingale, nous évaluons explicitement plusieurs options sur moyenne de taux dans un modèle de gamme des taux à un facteur où la structure de volatilité des prix des zéro-coupons est linéaire ou exponentielle. Puis nous calculons les sensibilités de la valeur de ces options en simulant différentes formes de la gamme des taux et en modifiant les principaux paramètres du modèle.

Suggested Citation

  • Patrice Poncet & François Quittard-Pinon, 2000. "Pricing and Hedging Asian Options on Interest Rates," Post-Print hal-02312991, HAL.
    • Handle: RePEc:hal:journl:hal-02312991
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