| 交叉货币百慕大式互换期权的定价 |
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| 引用本文： | 杜志阔,张迪新.交叉货币百慕大式互换期权的定价[J].应用概率统计,2011(4). |
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| 作者姓名： | 杜志阔 张迪新 |
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| 作者单位： | 北京交通大学理学院;中国科学院数学与系统科学研究院; |
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| 摘 要： | 本文首先研究了涉及两种货币市场的Hull-White随机利率模型.以此为基础,本文给出了交叉货币百慕大式互换期权的定价公式.由于无法得到显式定价公式,我们使用了Least Squared Monte-Carlo(LSM)算法来确定期权的最优执行时刻.最后本文给出了数值计算方面的结果.
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| 关 键 词： | 百慕大式互换期权 Hull-White随机利率模型 LSM算法 |
Valuation of Cross-Currency Bermudan Swaption |
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| Du Zhikuo,Zhang Dixin.Valuation of Cross-Currency Bermudan Swaption[J].Chinese Journal of Applied Probability and Statisties,2011(4). |
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| Authors: | Du Zhikuo Zhang Dixin |
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| Affiliation: | Du Zhikuo (School of Science,Beijing Jiaotong University,Beijing,100044) Zhang Dixin (Academy of Mathematics and Systems Science,Chinese Academy of Sciences,100190) |
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| Abstract: | This paper extends Hull-White interest rate model to cover cross-currency case.In the extended model we discuss valuation of cross-currency Bermudan swaptions.Since the closed-form pricing formula is hard to obtain,we apply the Least Squared Monte-Carlo approach to find the optimal exercising time.Some numerical results with different parameters are presented. |
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| Keywords: | Bermudan swaption Hull-White model Least Square Monte-Carlo |
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