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

P. Sztuba; A. Weron

doi:10.4064/am28-2-7

Wydawnictwa / Czasopisma IMPAN / Applicationes Mathematicae / Wszystkie zeszyty

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

Tom 28 / 2001

P. Sztuba, A. Weron Applicationes Mathematicae 28 (2001), 211-224 MSC: Primary 90A09; Secondary 60G44, 60H30. DOI: 10.4064/am28-2-7

Streszczenie

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.

Autorzy

P. SztubaHugo Steinhaus Center for Stochastic Methods
and
Institute of Mathematics
Wroc/law University of Technology
50-370 Wroc/law, Poland
e-mail
A. WeronHugo Steinhaus Center
for Stochastic Methods
and Institute of Mathematics
Wroclaw University of Technology
50-370 Wroclaw, Poland
e-mail

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