Analytic Pricing of SOFR Futures Contracts with Smile and Skew

arXiv - QuantFin - Pricing of Securities Pub Date : 2024-01-28 DOI:arxiv-2401.15728

Colin Turfus, Aurelio Romero-Bermúdez

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Abstract

We seek an analytic pricing formula for SOFR futures contracts under an extension of the Hull-White model which incorporates not only the intrinsic convexity adjustments captured by Mercurio [2018], but also the skew and smile observed in options markets as done in Turfus and Romero-Berm\'udez [2023].

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含微笑和偏斜的 SOFR 期货合约的分析定价

我们在 Hull-White 模型的延伸下寻求 SOFR 期货合约的分析定价公式，该公式不仅包含 Mercurio[2018]捕捉到的内在凸性调整，还包含 Turfus 和 Romero-Berm\'udez[2023] 在期权市场中观察到的偏斜和微笑。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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arXiv - QuantFin - Pricing of Securities

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