Discretely distributed scheduled jumps and interest rate derivatives : pricing in the context of central bank actions
Year of publication: |
2023
|
---|---|
Authors: | Silva, Allan Jonathan da ; Baczynski, Jack |
Published in: |
Economies : open access journal. - Basel : MDPI, ISSN 2227-7099, ZDB-ID 2704214-5. - Vol. 12.2024, 3, Art.-No. 73, p. 1-29
|
Subject: | monetary policy | central bank | interest rates | deterministic jump times | interest ratederivatives | affine jump-diffusion | COS method | overnight interest rate option | Geldpolitik | Monetary policy | Zins | Interest rate | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative | Volatilität | Volatility | Zentralbank | Central bank | Derivat | Derivative | Zinsstruktur | Yield curve | Zinspolitik | Interest rate policy |
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