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

NCU Institutional Repository > 管理學院 > 財務金融學系 > 期刊論文 > Item 987654321/104766

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题名:	Barrier caps and floors under the LIBOR market model with double exponential jumps
作者:	吳庭斌;Chang, Jui-Jane;Chen, Son-Nan;Wang, Chun-Chao;Wu, Ting-Pin
贡献者:	管理學院財務金融學系
关键词:	LIBOR;Monte Carlo simulation;Pricing policies;Studies
日期:	2014-01-01
上传时间:	2026-04-23 11:57:37 (UTC+8)
出版者:	Portfolio Management Research;New York: Institutional Investor
摘要:	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
显示于类别:	[財務金融學系] 期刊論文

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