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    Pricing of Game Options in a market with stochastic interest rates

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    hernandezurena_luisgustavo_200505_pdh.pdf (1.722Mb)
    Date
    2005-03-30
    Author
    Hernandez Urena, Luis Gustavo
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    Abstract
    An in depth study of the pricing of Game contingent claims under a general diffusion market model, in which interest rate is non constant, is presented. With the idea of providing a few numerical examples of the valuation of such claims, we present a detailed description of a Bootstrapping procedure to obtain interest rate information from Swaps rates. We also present a Stripping procedure that can be used to obtain initial spot (caplet) volatility from Market quotes on Caps/FLoors. These methods are of general application and could be used in the calibration of diffusion models of interest rate. Then we show several examples of calibration of the Hull--White model of interest rates. Our calibration examples are later used in the numerical approximation of the value of a particular form of Game option.
    URI
    http://hdl.handle.net/1853/7005
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    • Georgia Tech Theses and Dissertations [22398]
    • School of Mathematics Theses and Dissertations [399]

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