双边实际交换的价值

IF 0.8 4区数学 数学研究 Pub Date : 2022-06-01 DOI:10.4208/jms.v55n3.22.06

Nengsheng Fang null, C. Liao

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引用次数: 0

摘要

在本文中，我们建立了现实世界中双边匹配交换问题的数学模型。我们给出了双边交换期权的一个必要匹配条件，并利用定价核方法推导了交换期权的解析表达式。此外，我们还探讨了投资决策中swaptions的最优行使边界和性质。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Value of a Two-Sided Real Swaption

. In this paper we establish a mathematical model for two-sided matching swaption problems in real world. We ﬁnd a necessary matching condition of the two-sided swaption and deduce analytical formulations of the swaptions in virtue of pricing kernel methods. Also we explore the optimal exercise boundary and properties of the swaptions for investment decision making.

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数学研究 MATHEMATICS-

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1109

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