SWAPTION PRICING IN AFFINE AND OTHER MODELS
简化并扩展了仿射模型中互换期权的定价方法，提出了两种新的近似方法，并在仿射和二次高斯模型中验证了其准确性。
This paper shows that Singleton and Umantsev's method for swaption pricing in affine models can be simplified and extended to other models. Two alternative methods for approximating the option exercise boundary are introduced: one based on the multivariate Taylor series expansion, and the other based on duration‐matched zero‐coupon bond approximation. Applied to affine models and quadratic‐Gaussian models, these methods are found to give accurate swaption prices.