Skip Navigation

This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Similar articles in ISI Web of Science
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrow Search for citing articles in:
ISI Web of Science (17)
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Chacko, G.
Right arrow Articles by Das, S.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Rev Fin 2002; 15:195-241
© 2002 the Society for Financial Studies

Pricing Interest Rate Derivatives: A General Approach

George Chacko
Harvard University

Sanjiv Das
Santa Clara University

Abstract

The relationship between affine stochastic processes and bond pricing equations in exponential term structure models has been well established. We connect this result to the pricing of interest rate derivatives. If the term structure model is exponential affine, then there is a linkage between the bond pricing solution and the prices of many widely traded interest rate derivative securities. Our results apply to m-factor processes with n diffusions and l jump processes. The pricing solutions require at most a single numerical integral, making the model easy to implement. We discuss many options that yield solutions using the methods of the article.


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?


This article has been cited by other articles:


Home page
 REV FINANC STUDHome page
P. C. B. Phillips and J. Yu
Jackknifing Bond Option Prices
Rev. Financ. Stud., June 1, 2005; 18(2): 707 - 742.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
Y. Hong and H. Li
Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates
Rev. Financ. Stud., January 1, 2005; 18(1): 37 - 84.
[Abstract] [Full Text] [PDF]


Disclaimer:
Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.