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.
| Identifer | oai:union.ndltd.org:GATECH/oai:smartech.gatech.edu:1853/7005 |
| Date | 30 March 2005 |
| Creators | Hernandez Urena, Luis Gustavo |
| Publisher | Georgia Institute of Technology |
| Source Sets | Georgia Tech Electronic Thesis and Dissertation Archive |
| Language | en_US |
| Detected Language | English |
| Type | Dissertation |
| Format | 1806095 bytes, application/pdf |
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