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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/153748

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/153748

Title:	CMS Spread Options Pricing under the CHH Model
Authors:	謝沛霖 Hsieh, Pei-Lin;Chen, Ren-Raw;Li, Xiaowei
Contributors:	財管系
Date:	2023-03
Issue Date:	2024-09-11
Abstract:	Based on the Chen, Hsieh, and Huang (2017) interest rate model, this research explores the analytical approach for pricing CMS spread options. We first derive a complex joint density for two swap rates composed of sequential forward rates and approximate the joint density by bivariate normals. After applying the methods of Pearson (1995) and Li, Deng, and Zhou (2008), we obtain two analytical pricing models and examine their accuracy using numerical analysis. Finally, we empirically show the predictive power of the implied volatility of CMS options for future economic states.
Relation:	The Journal of Fixed Income, Vol.32, No.4, pp.83-107
Data Type:	article
DOI 連結:	http://dx.doi.org/10.3905/jfi.2023.1.155
DOI:	10.3905/jfi.2023.1.155
Appears in Collections:	[財務管理學系] 期刊論文

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