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政大典藏 > College of Commerce > Department of Finance > Periodical Articles > Item 140.119/151238

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Title:	Inferring the Implied Volatility of SOFR-Based Swaptions
Authors:	岳夢蘭 Yueh, Meng-Lan;Wu, Cho-Jui
Contributors:	財管系
Date:	2024-03
Issue Date:	2024-05-24 11:00:32 (UTC+8)
Abstract:	The adoption of SOFR introduces valuation and hedging challenges for derivatives due to its backward-looking settlement style. Despite the availability of analytical pricing formulae for vanilla SOFR derivatives, the early-stage SOFR swaptions market impedes model implementation and empirical validation due to insufficient liquidity and lack of historical data. This article develops a mechanism to convert volatility quotes from actively traded LIBOR swaptions to emerging SOFR swaptions. The proposed mechanism facilitates the transfer of price information embedded in LIBOR-based swaptions to SOFR-based swaptions, contributing to the establishment of a crucial SOFR swaption market for trading volatilities associated with the new benchmark.
Relation:	Journal of Derivatives
Data Type:	article
DOI:	10.3905/jod.2024.1.201
Appears in Collections:	[Department of Finance] Periodical Articles

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