Since 2014
Quanto Average Interest Rate Options in a Lognormal Interest Rate Market Model
Journal of Financial Studies
View Archive Info| Field | Value | |
| Title |
Quanto Average Interest Rate Options in a Lognormal Interest Rate Market Model |
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| Creator |
Ting-Pin Wu
Son-Nan Chen |
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| Description |
This paper extends the single-currency LMM to the cross-currency LMM based on the Amin and Jarrow (1991) framework, and the resulting model is applied to deriving the approximate pricing formula of the quanto average interest options via two different approximation approaches, presented by Vorst (1992) and Levy (1992). These two approximation formulas have been examined to be very accurate as compared with Monte Carlo simulation. The model calibration procedure is also presented in detail for practical implementation. Key words: LIBOR Market Model, Average Interest Rate Options, Quanto Options |
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| Publisher |
Journal of Financial Studies
財務金èžå¸åˆŠ |
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| Date |
2011-05-27
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| Type |
—
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| Format |
application/pdf
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| Identifier |
http://www.jfs.org.tw/index.php/jfs/article/view/2011128
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| Source |
Journal of Financial Studies; Vol 16, No 2 (2008); 35
財務金èžå¸åˆŠ; Vol 16, No 2 (2008); 35 |
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| Language |
—
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