Approximate pricing of swaptions in affine and quadratic models
针对仿射和二次利率模型，提出可计算的欧式期权互换价格上下界，仅需状态变量的联合特征函数，并通过一维傅里叶变换高效实现，测试表明准确且计算高效。
This paper proposes new bounds on the prices of European-style swaptions for affine and quadratic interest rate models. These bounds are computable whenever the joint characteristic function of the state variables is known. In particular, our lower bound involves the computation of a one-dimensional Fourier transform independently of the swap length. In addition, we control the error of our method by providing a new upper bound on swaption price that is applicable to all considered models. We test our bounds on different affine models and on a quadratic Gaussian model. We also apply our procedure to the multiple curve framework. The bounds are found to be accurate and computationally efficient.