Monthly Archives: April 2016

An Overview of Derivative Pricing in Gaussian Affine Asset Pricing Models: An Application to the KNW Model

We present a comprehensive overview of derivative pricing in Gaussian affine asset pricing models. Gaussian affine asset pricing models are widely used in practice for pricing and scenario analysis due to their tractable pricing implications and easy estimation. This tractability is essential to efficiently evaluate portfolios of derivatives within many scenarios and time periods. We present efficient closed-form pricing formulas…