Year
2000
Authors
PONCET Patrice, QUITTARD-PINON F.
Abstract
Using the martingale approach, we explicitly evaluate various Asian (average) options on interest rates in the context of a one-factor model of the yield curve and of either a linear or an exponential volatility structure for zero-coupon bond prices. We also compute the “Greek” derivatives of these options. We then study the behavior of these option prices by simulating various shapes for the yield curve and by changing various important parameters of the model.
PONCET, P. et QUITTARD-PINON, F. (2000). Pricing and Hedging Asian Options on Interest Rates. Bankers, Markets and Investors, pp. 5-14.