不同標的利率、殖利率曲線、波動結構對標準與亞式利率上限契約價值的影響
Other Title
Impacts of Underlying Interest Rates, Yield Curves and Volatility
Structure on the Values of Standard Cap and Average Cap
Structure on the Values of Standard Cap and Average Cap
Date Issued
2003
Date
2003
Author(s)
DOI
912416H002026
Abstract
This paper derives the pricing
formula for a standard cap, under different
term structure models and using different
interest rates as the underlying asset.
The term structure models employed
include Hull and White (1990), Heath,
Jarrow and Morton (1992), Brace,
Gatarek and Musiela (1997). In separate
cases, the underlying asset is assumed to
pay the short rate, the spot rate, and the LIBOR rate. A unique pricing formula
appropriate for each case is derived here
and a numerical example is applied to
demonstrate their differences. The
following empirical studies are
conducted ： (1) Computation of
premiums of standard caps with various
underlying assets and maturities; (2)
Impact of interest rate volatility structure
on the premium of a standard cap; (3)
Relationship between cap premium and
maturity.
Subjects
Term Structure of Interest Rate
Volatility Structure of Interest Rate
Interest Rate Options
Interest Rate Caps
Publisher
臺北市：國立臺灣大學財務金融學系暨研究所
Type
report
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