| 在多因素HJM框架之下估价一种利率差价期权 |
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| 引用本文： | 李淑锦.在多因素HJM框架之下估价一种利率差价期权[J].杭州电子科技大学学报,2008(1). |
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| 作者姓名： | 李淑锦 |
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| 作者单位： | 杭州电子科技大学财经学院 浙江杭州 |
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| 基金项目： | 杭州电子科技大学科研启动基金(KYS020517048) |
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| 摘 要： | 本文研究了在两种利率差价上一个欧式期权的定价问题,这一问题类似于两种资产互换的期权。在一个多因素HJM框架之下本文获得了这种利率差价期权的精确的定价公式。文中表明利率的不完全相关性的引入是非常必要的,在单因素模型之下,比如Ho和Lee(1985)模型,是不能定价这一类期权的。
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| 关 键 词： | 利率差价期权 多因素HJM模型 欧式期权 Ho和Lee模型 |
Valuing an Interest Rate Spread Option under the Multi-factor HJM Framework |
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| LI Shu-jin.Valuing an Interest Rate Spread Option under the Multi-factor HJM Framework[J].Journal of Hangzhou Dianzi University,2008(1). |
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| Authors: | LI Shu-jin |
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| Affiliation: | LI Shu-jin(School of Finance,Hangzhou Dianzi University,Hangzhou Zhejiang 310018,China) |
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| Abstract: | This paper studies the problem of pricing a European option on the difference of the two interest rates, which is analogous to an option to exchange one asset for another. We derive a closed-form of pricing formula of an interest rate spread options under a multi-factor Heath-Jarrow-Morton (HJM) term structure framework, which shows that the introduction of the imperfect interest rates movements is essential for pricing such option, for which a single-factor model such as Ho and Lee (1985) model should not ... |
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| Keywords: | interest rate spread options multi-factor HJM model European options Ho and Lee model |
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