英文标题：
《Fast swaption pricing in Gaussian term structure models》
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作者：
Jaehyuk Choi and Sungchan Shin
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最新提交年份：
2018
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英文摘要：
We propose a fast and accurate numerical method for pricing European swaptions in multi-factor Gaussian term structure models. Our method can be used to accelerate the calibration of such models to the volatility surface. The pricing of an interest rate option in such a model involves evaluating a multi-dimensional integral of the payoff of the claim on a domain where the payoff is positive. In our method, we approximate the exercise boundary of the state space by a hyperplane tangent to the maximum probability point on the boundary and simplify the multi-dimensional integration into an analytical form. The maximum probability point can be determined using the gradient descent method. We demonstrate that our method is superior to previous methods by comparing the results to the price obtained by numerical integration.
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中文摘要：
我们提出了一种快速准确的多因素高斯期限结构模型中欧式掉期期权定价的数值方法。我们的方法可用于加速此类模型到波动率表面的校准。在这样一个模型中，利率期权的定价涉及在收益为正的域上评估索赔回报的多维积分。在我们的方法中，我们通过与边界上的最大概率点相切的超平面来近似状态空间的运动边界，并将多维积分简化为解析形式。最大概率点可使用梯度下降法确定。通过将结果与数值积分得到的价格进行比较，我们证明了我们的方法优于以前的方法。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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