Читать книгу Perturbation Methods in Credit Derivatives - Colin Turfus - Страница 19

Having successfully integrated analytic pricing functionality for Black–Karasinski rates modelling into the pricing library, in particular analytic formulae for cap, floor and swaption pricing, the hybrid derivatives traders are interested in whether it is possible also to incorporate interest rate skew and smile into analytic pricing formulae for rates options. They find that there are, unfortunately, no formulae in the book which address this problem, so they contact the author to ask if this is something that could be done. He informs them that, while this is difficult for the Black–Karasinski model, he has plans to extend the Hull–White model in precisely this way and hopes to publish analytic option pricing formulae in due course.¹