政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/78212

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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/78212

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/78212

Title:	Valuation of Interest Rate Spread Options in a Multifactor LIBOR Market Model
Authors:	Wu, Ting-Pin;Chen, Son-Nan 陳松男
Contributors:	金融系
Date:	2009
Issue Date:	2015-09-02 17:06:36 (UTC+8)
Abstract:	Within the multifactor LIBOR market model, the authors examine three types of interest rate spread options: LIBOR vs. LIBOR, LIBOR vs. swap rate, and swap rate vs. swap rate. These financial products are widely traded in the marketplace or are embedded in structured notes, such as CMS range accruals and steepeners. In the first case, the authors show that the drift has an impact on the pricing which differs from the results of previous research. The authors also present a new approach to approximating the distribution of a forward swap rate under the LIBOR market model and then employ it to price CMS spread options. The numerical examples show that the approximate pricing formulas are robustly accurate as compared with Monte Carlo simulation using recent two-year data.
Relation:	Journal of Derivatives, 16(3), 38-52
Data Type:	article
DOI 連結:	http://dx.doi.org/10.3905/JOD.2009.16.3.038
DOI:	10.3905/JOD.2009.16.3.038
Appears in Collections:	[金融學系] 期刊論文

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