Pricing Claims Under GARCH-Level Dependent Interest Rate Processes
研究当利率由两状态变量GARCH过程驱动时，利率敏感型权利要求的定价问题，给出了正态或卡方随机变量下的解析解，并提供了美式利率权利要求的高效定价算法。
This article considers the pricing of interest-rate-sensitive claims when the underlying interest rate is driven by a two-state-variable GARCH process. Analytical solutions are established for the case when the innovations in the short rate are normal and/or chi-squared random variables and the volatility of rates take on a special GARCH form. GARCH models that nest level-dependent interest rate models, including the Cox, Ingersoll, and Ross model, are also considered. Algorithms are provided that permit the efficient pricing of American-style interest rate claims under a rather broad array of GARCH-Level dependent processes.