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題名 | Pricing Interest Rate Derivatives under Double Exponential Volatility Structures=雙指數波動架構的利率衍生性模型 |
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作者姓名(中文) | 莊益源; | 書刊名 | 管理學報 |
卷期 | 18:3 2001.09[民90.09] |
頁次 | 頁353-376 |
分類號 | 562.1 |
關鍵詞 | 波動架構; 利率模型; HJM模型; Extended vasicek模型; Ho-Lee模型; Volatility structure; Interest rate model; HJM model; Extended vasicek model; Ho-Lee model; |
語文 | 英文(English) |
中文摘要 | 近年來許多的學者報告指出,在接近兩年期的遠期波動性具有隆凸型的架構。本文我們提出一隆凸型的波動架構用來作利率衍生性金融產品的定價。我們的架構非常的彈性並包括Extended Vasicek模型為特例。並且幾乎所有的歐式衍生性金融產品皆可以找到封閉解。我們將提供一些例子。最後,對於美式的契約,我們也概要敘述其快速的數值解。 |
英文摘要 | Recently, several researchers report a hump in the forward volatility structure that peaks at around two-year maturity. In this article, we propose a possible humped volatility structure in the pricing of interest rate derivatives. Our volatility is very flexible and includes, as a special case, the simple extended Vasicek models. Almost all the closed-form solutions for European interest rate claims can be obtained. Examples of exact solutions for European claims will also be provided. Finally, for American contracts, numerical algorithms are outlined. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。