Analytical Valuation of Barrier Interest Rate Options Under Market Models

被引：5

作者：

Wu, Ting-Pin ^{[1
]}

Chen, Son-Nan ^{[2
]}

机构：

[1] Natl Taipei Univ, Dept Stat, Taipei, Taiwan

[2] Natl Chengchi Univ, Dept Banking & Finance, Taipei, Taiwan

来源：

JOURNAL OF DERIVATIVES | 2009年 / 17卷 / 01期

关键词：

TERM STRUCTURE; EQUITY SWAPS; DERIVATIVES;

D O I：

10.3905/JOD.2009.17.1.021

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Barrier caps, floors, and swaptions are priced hi a closed form via the time-changed technique under the market models. The parameters of the resulting formulas can be easily extracted from market data. This makes the pricing formulas more easily implemented in practice. In addition, the monitoring of the barrier crossing is based on the observable forward LIBOR and swap rates, which helps hedging operations.

引用

页码：21 / 37

页数：17

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