Sección: ArtículosTítulo: Pricing inflation products with stochastic volatility and stochastic interest rates / Stefan N. Singor...[et.al]Notas: Sumario: We consider a Heston type inflation model in combination with a HullWhite model for nominal and real interest rates, in which all the correlations can be non-zero. Due to the presence of the Heston dynamics our derived inflation model is able to capture the implied volatility skew/smile, which is present in the inflation option market data. We derive an efficient approximate semi-closed pricing formula for two types of inflation dependent options: index and year-on-year inflation options. The derived pricing formulas allow for an efficient calibration of the inflation model. We also illustrate our approach using a real-life pension fund example, where the Heston HullWhite model is used to determine the value of conditional future indexations.Registros relacionados: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 04/03/2013 Volumen 52 Número 2 - marzo 2013 Otras clasificaciones: 6Derechos: In Copyright (InC)Referencias externas:
