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Wmfm
Topic Author
Posts: 1
Joined: October 23rd, 2017, 2:56 pm

Paper on pricing short dated rates options

October 24th, 2017, 1:18 pm

Hi,

I'm looking for a paper on short dated rates option pricing.  From what I understand, broker quotes 1m, 3m, 6m expiries, and pricing dates in between are based on weights assigned to different events in between.  Can anyone share more info on this?  Are there different models out there for this?  

Thank you.
 
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Martinghoul
Posts: 188
Joined: July 18th, 2006, 5:49 am

Re: Paper on pricing short dated rates options

October 24th, 2017, 2:25 pm

The event stuff is quite ad hoc...  I don't recall seeing any papers on these subjects.