Fast Calibration of Interest Rate Claims in the Quadratic Gaussian Model : 2 the Swaptions

IF 0.4 4区 经济学 Q4 BUSINESS, FINANCE Journal of Derivatives Pub Date : 2009-07-27 DOI:10.2139/ssrn.1441187
D. Bloch
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引用次数: 2

Abstract

In the second part of a series of articles on the pricing of interest rate contingent claims in the multifactor Quadratic Gaussian model, we concentrate on the pricing of swaptions. Assuming the zero-coupon bond volatility to be a deterministic function of some Markov processes, we derive the true volatility of the coupon-bond as a weighted sum of some zero-coupon bond volatility with different maturities. Bounding the stochastic weights such that the misspecified volatility dominates the true one, we obtain bounds and hedges to the true price which are solved with approximate solutions of the Black type to the prices of call option and binary option when volatility, rates and dividends are function of the Markov processes.
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二次高斯模型中利率要求的快速标定:2 .互换
在多因素二次高斯模型中利率或有债权定价系列文章的第二部分中,我们将重点讨论互换的定价。假设零息债券的波动率是一些马尔可夫过程的确定性函数,我们推导出息票债券的真实波动率为不同期限的零息债券波动率的加权和。对随机权重进行限定,使错定波动率优于真实波动率,得到真实价格的边界和套期保值,当波动率、利率和股息是马尔可夫过程的函数时,用看涨期权和二元期权价格的近似解求解。
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来源期刊
Journal of Derivatives
Journal of Derivatives Economics, Econometrics and Finance-Economics and Econometrics
CiteScore
1.30
自引率
14.30%
发文量
35
期刊介绍: The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets
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