L'évaluation d'obligations "corridor" sur taux d'intérêt [extrait BMI 32]
Version numérique PDF
Les coupons d'obligations structurées de type "corridor" sur taux d'intérêt sont évalués à l'aide d'options digitales à paiement retardé. Un modèle d'évolution des taux linéaire gaussien à un seul facteur est considéré, et nous utilisons l'univers forward-neutre. On obtient alors des formules analytiques calculées d'une manière différente et plus simple que celle utilisée par Turnbull (1995). Des simulations sont présentées pour illustrer les formules obtenues, et mettre en relief leur caractère opérationnel.
Auteurs :Navatte Patrick Extrait de la revue BMI 32
Référence
BMI32-1098192
État
Nouveau
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