6 papers
SABR smiles for RFR caplets
Sander Willems
We present a natural extension of the SABR model to price both backward and forward-looking RFR caplets in a post-Libor world. Forward-looking RFR caplets can be priced using the m…
Linear Stochastic Dividend Model
Sander Willems
In this paper we propose a new model for pricing stock and dividend derivatives. We jointly specify dynamics for the stock price and the dividend rate such that the stock price is…
A lognormal type stochastic volatility model with quadratic drift
Peter Carr, Sander Willems
This paper presents a novel one-factor stochastic volatility model where the instantaneous volatility of the asset log-return is a diffusion with a quadratic drift and a linear dis…
A Term Structure Model for Dividends and Interest Rates
Damir Filipović, Sander Willems
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffu…
Asian Option Pricing with Orthogonal Polynomials
Sander Willems
In this paper we derive a series expansion for the price of a continuously sampled arithmetic Asian option in the Black-Scholes setting. The expansion is based on polynomials that…
Exact Smooth Term-Structure Estimation
Damir Filipović, Sander Willems
We present a non-parametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse. The discount curve reproduces the market quotes perfe…