Pricing forward-start options in the HJM framework; evidence from the Polish market

P. Sztuba, and A. Weron. "Pricing forward-start options in the HJM framework; evidence from the Polish market." Applicationes Mathematicae 28.2 (2001): 211-224. <http://eudml.org/doc/279849>.

@article{P2001,
abstract = {We show how to use the Gaussian HJM model to price modified forward-start options. Using data from the Polish market we calibrate the model and price this exotic option on the term structure. The specific problems of Central Eastern European emerging markets do not permit the use of the popular lognormal models of forward LIBOR or swap rates. We show how to overcome this difficulty.},
author = {P. Sztuba, A. Weron},
journal = {Applicationes Mathematicae},
keywords = {exotic option; hedging; term structure of interest rates; pricing of modified; forward-start options; Polish market},
language = {eng},
number = {2},
pages = {211-224},
title = {Pricing forward-start options in the HJM framework; evidence from the Polish market},
url = {http://eudml.org/doc/279849},
volume = {28},
year = {2001},
}

TY - JOUR
AU - P. Sztuba
AU - A. Weron
TI - Pricing forward-start options in the HJM framework; evidence from the Polish market
JO - Applicationes Mathematicae
PY - 2001
VL - 28
IS - 2
SP - 211
EP - 224
AB - We show how to use the Gaussian HJM model to price modified forward-start options. Using data from the Polish market we calibrate the model and price this exotic option on the term structure. The specific problems of Central Eastern European emerging markets do not permit the use of the popular lognormal models of forward LIBOR or swap rates. We show how to overcome this difficulty.
LA - eng
KW - exotic option; hedging; term structure of interest rates; pricing of modified; forward-start options; Polish market
UR - http://eudml.org/doc/279849
ER -