Pricing Asian-style interest rate swaps

Chuang Chang Chang, San Lin Chung

研究成果: 雜誌貢獻期刊論文同行評審

3 引文 斯高帕斯(Scopus)

摘要

This research uses an extended Vasicek term structure model to derive closed-form solutions for Asian-style interest rate swaps, whose payoffs are determined by the average interest rates over a period between two consecutive settlement dates. The authors illustrate the pricing properties of Asian-style interest rate swaps and compare them with those of standard interest rate swaps. They show that an Asian-style interest rate swap does not necessarily cost less than a conventional interest rate swap in this framework. The key factors that make the swap rates of Asian-style and standard interest rate swaps different are the shape of the initial term structure of interest rates and the length of reset periods.

原文???core.languages.en_GB???
頁(從 - 到)45-55
頁數11
期刊Journal of Derivatives
9
發行號4
DOIs
出版狀態已出版 - 1 6月 2002

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