Barrier caps and floors under the LIBOR market model with double exponential jumps

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/104766

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/104766

Title:	Barrier caps and floors under the LIBOR market model with double exponential jumps
Authors:	吳庭斌;Chang, Jui-Jane;Chen, Son-Nan;Wang, Chun-Chao;Wu, Ting-Pin
Contributors:	管理學院財務金融學系
Keywords:	LIBOR;Monte Carlo simulation;Pricing policies;Studies
Date:	2014-01-01
Issue Date:	2026-04-23 11:57:37 (UTC+8)
Publisher:	Portfolio Management Research;New York: Institutional Investor
Abstract:	摘要： The pricing formulas for barrier caps and floors are derived under the framework of the LIBOR market model with double exponential jumps (LMMDJ). The LMMDJ can capture two important empirical features of interest rates: the leptokurtosis and the observed patterns in implied volatilities. The derived pricing formulas are highly efficient and accurate in the pricing of barrier caps and floors compared with Monte Carlo simulation, hence providing useful and efficient pricing formulas for market practitioners. [PUBLICATION ABSTRACT] 出版者： New York: Institutional Investor 出版日期： 2014-07-01 出處： The Journal of derivatives, 2014-07, Vol.21 (4), p.7-24 資源來源： Accounting, Tax & Banking Collection 版權： Copyright Euromoney Institutional Investor PLC Summer 2014 識別號： ISSN: 1074-1240 識別號： EISSN: 2168-8524 識別號： DOI: 10.3905/jod.2014.21.4.007
Appears in Collections:	[Department of Finance] journal & Dissertation

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML	15	View/Open

社群 sharing