Pricing Asian-style interest rate swaps within a multi-factor gaussian hjm framework

Chih Chen Hsu, 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

Considering the Asian-style interest rate swap is a stream of interest payments between two parties, this study employs the multi-factor Gaussian Heath-Jarrow-Morton term structure model for developing an analytic evaluation model applied to Asian-style interest rate swaps. The numerical investigation illustrates that the pricing properties of Asian-style interest rate swaps coincide with conventional financial theorems such as the initial term structure of interest rate and, the length of reset periods. But the volatilities of interest rates do not generate significant influence. Finally, Asian-style interest rate swaps are not necessarily less costly than conventional interest rate swaps.

原文???core.languages.en_GB???
頁(從 - 到)357-375
頁數19
期刊International Journal of Information and Management Sciences
22
發行號4
出版狀態已出版 - 12月 2011

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