政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/61672

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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/61672

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/61672

Title:	An Efficient Valuation and Hedging of Constant Maturity Swap Products under BGM Model
Authors:	廖四郎 Liao, Szu-Lang;Tsai, Hung-Pin;Lin, Shih-Kuei
Contributors:	金融系
Keywords:	CMS spread option;CMS ratchet option;LIBOR market model;hedge
Date:	2010.09
Issue Date:	2013-11-13 17:45:58 (UTC+8)
Abstract:	The derivatives of the constant maturity swap (CMS) are evaluated by the LIBOR market model (LMM) implemented by Monte Carlo methods in the previous researches. 1n this paper, we derive an approximated dynamic process of the forward-swap rate (FSR) under LMM. Based on the approximated dynamics for the FSR under one factor model, CMS spread options and CMS ratchet options are valued by the no-arbitrage method in approximated analytic formulas. In the numerical analysis, the relative errors between the Monte Carlo simulations and the approximated closed form formulas are very small for CMS spread options and CMS ratchet options and we also provide an efficient hedging method for these products under one factor LMM.
Relation:	Journal of the Chinese Statistical Association, 48(3) , 161-189
Data Type:	article
Appears in Collections:	[金融學系] 期刊論文

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