Chang C.-C.Chung S.-L.2019-07-222019-07-22200210741240https://scholars.lib.ntu.edu.tw/handle/123456789/414515This research uses an extended Vasicek term structure model to derive closed-form solutions for Asian-style interest rate swaps, whose payoffs are determined by the average interest rates over a period between two consecutive settlement dates. The authors illustrate the pricing properties of Asian-style interest rate swaps and compare them with those of standard interest rate swaps. They show that an Asian-style interest rate swap does not necessarily cost less than a conventional interest rate swap in this framework. The key factors that make the swap rates of Asian-style and standard interest rate swaps different are the shape of the initial term structure of interest rates and the length of reset periods. Copyright ? 2002 Institutional Investor, Inc. All Rights Reserved.journal article10.3905/jod.2002.3191852-s2.0-84986164163https://www.scopus.com/inward/record.uri?eid=2-s2.0-84986164163&doi=10.3905%2fjod.2002.319185&partnerID=40&md5=996791d32015d67925fcdbb7ddd2b1db