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    题名: Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks
    作者: 林士貴
    Lin, Shih-Kuei
    Wang, Shin-Yun
    Chen, Carl R.
    Xu, Lian-Wen
    贡献者: 金融系
    关键词: Stochastic model in continuous time interest rate;LIBOR market modelJump risks;Range Accrual Interest Rate Swap (RAIRS)
    日期: 2017-11
    上传时间: 2017-09-18 15:40:32 (UTC+8)
    摘要: This research derives the LIBOR market model with jump risks, assuming that interest rates follow a continuous time path and tend to jump in response to sudden economic shocks. We then use the LIBOR model with jump risk to price a Range Accrual Interest Rate Swap (RAIRS). Given that the multiple jump processes are independent, we employ numerical analysis to further demonstrate the influence of jump size, jump volatility, and jump frequency on the pricing of RAIRS. Our results show a negative relation between jump size, jump frequency, and the swap rate of RAIRS, but a positive relation between jump volatility and the swap rate of RAIRS.
    關聯: North American Journal of Economics and Finance, Volume 42, Pages 359-373
    数据类型: article
    DOI 連結: https://doi.org/10.1016/j.najef.2017.07.018
    DOI: 10.1016/j.najef.2017.07.018
    显示于类别:[金融學系] 期刊論文

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