PRICING COUPON‐BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
提出一种数值精确且计算快速的近似方法，用于定价附息债券期权和互换期权，适用于所有仿射期限结构模型，并基于历史互换收益率进行了实证分析。
This paper provides a numerically accurate and computationally fast approximation to the prices of European options on coupon‐bearing instruments that is applicable to the entire family of affine term structure models. Exploiting the typical shapes of the conditional distributions of the risk factors in affine diffusions, we show that one can reliably compute the relevant probabilities needed for pricing options on coupon‐bearing instruments by the same Fourier inversion methods used in the pricing of options on zero‐coupon bonds. We apply our theoretical results to the pricing of options on coupon bonds and swaptions, and the calculation of “expected exposures” on swap books. As an empirical illustration, we compute the expected exposures implied by several affine term structure models fit to historical swap yields.