Barrier caps and floors under the LIBOR market model with double exponential jumps

Jui Jane Chang, Son Nan Chen, Chun Chao Wang, Ting Pin Wu

研究成果: 雜誌貢獻期刊論文同行評審

1 引文 斯高帕斯(Scopus)

摘要

The pricing formulas for barrier caps and floors are derived under the framework of the LIBOR market model with double exponential jumps (LMMDJ). The LMMDJ can capture two important empirical features of interest rates: the leptokurtosis and the observed patterns in implied volatilities. The derived pricing formulas are highly efficient and accurate in the pricing of barrier caps and floors compared with Monte Carlo simulation, hence providing useful and efficient pricing formulas for market practitioners.

原文???core.languages.en_GB???
頁(從 - 到)7-30
頁數24
期刊Journal of Derivatives
21
發行號4
DOIs
出版狀態已出版 - 2014

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