Black-Karasinski模型中的分析性互换定价

ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2018-09-23 DOI:10.2139/ssrn.3253866

C. Turfus

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引用次数: 5

摘要

我们提出了Black-Karasinski(对数正态)短期利率模型的格林函数解，作为一种摄动展开式，该展开式在利率与远期曲线的小偏差限制下有效。我们用它推导出欧洲互换价格的二阶精度解析公式。

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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Analytic Swaption Pricing in the Black-Karasinski Model

We present a Green's function solution to the Black-Karasinski (lognormal) short rate model as a perturbation expansion valid in the limit of small deviations of the rates from the forward curve. We use this to derive analytic formulae for the prices of European swaptions to second order accuracy.

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ERN: Other Econometric Modeling: Derivatives (Topic)

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