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Asia-Pacific Financial Markets
Published in: Asia-Pacific Financial Markets 1/2017

28-02-2017

Pricing CIR Yield Options by Conditional Moment Matching

Authors: Adrian Prayoga, Nicolas Privault

Published in: Asia-Pacific Financial Markets | Issue 1/2017

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Abstract

We propose an approximation scheme for the pricing of yield options in the CIR model using conditional moment matching based on the gamma and lognormal distributions. This method is fast and simple to implement, and it shows a high degree of accuracy without being subject to the numerical instabilities that can be encountered with more sophisticated approaches.
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Literature
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Metadata
Title
Pricing CIR Yield Options by Conditional Moment Matching
Authors
Adrian Prayoga
Nicolas Privault
Publication date
28-02-2017
Publisher
Springer Japan
Published in
Asia-Pacific Financial Markets / Issue 1/2017
Print ISSN: 1387-2834
Electronic ISSN: 1573-6946
DOI
https://doi.org/10.1007/s10690-017-9222-5