Multiscale behavior of a simple model for stock markets.

Sánchez, Juan R.

Displaying similar documents to “Multiscale behavior of a simple model for stock markets.”

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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.