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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


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    題名: CMS Spread Options Pricing under the CHH Model
    作者: 謝沛霖
    Hsieh, Pei-Lin;Chen, Ren-Raw;Li, Xiaowei
    貢獻者: 財管系
    日期: 2023-03
    上傳時間: 2024-09-11
    摘要: 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.
    關聯: The Journal of Fixed Income, Vol.32, No.4, pp.83-107
    資料類型: article
    DOI 連結: http://dx.doi.org/10.3905/jfi.2023.1.155
    DOI: 10.3905/jfi.2023.1.155
    顯示於類別:[財務管理學系] 期刊論文

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