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Pricing of Asian options on interest rates in the CIR model
Dassios, Angelos / Nagaradjasarma, Jayalaxshmi
interest rates / stochastic processesResource overview

Pricing of Asian options on interest rates in the CIR model

Paper2011

by Dassios, Angelos, Nagaradjasarma, Jayalaxshmi

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interest ratesstochastic processes

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Suggested foundations for stochastic processes and pricing and rates and fixed income. Specialist prerequisites vary by paper.

Before you read

  1. Conditional Expectation

    Understand what it means to condition on current information.

  2. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

  3. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  4. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

Go further

  1. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

  2. Simulating SDEs

    Translate continuous dynamics into a numerical experiment.

  3. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

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Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Derivatives Pricing and Computational Finance Explore Fixed Income and Interest-Rate Models

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