{"title":"替代掉期利率模型","authors":"Deimante Rheinlaender","doi":"10.2139/ssrn.2208152","DOIUrl":null,"url":null,"abstract":"We propose an alternative swap rate model for the pricing and hedging of swap rate path dependent European payoffs. We derive the absence of arbitrage condition for the conditional expectation approximation. The swap rate model relies on approximating all conditional expectation processes using the standard techniques. The resulting model is able to incorporate the absence of arbitrage constraint together with functional relations when several conditional expectations are involved. The approach is illustrated on the variance swap example.","PeriodicalId":378972,"journal":{"name":"ERN: Swaps & Forwards (Topic)","volume":"89 8 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2013-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Alternative Swap Rate Model\",\"authors\":\"Deimante Rheinlaender\",\"doi\":\"10.2139/ssrn.2208152\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We propose an alternative swap rate model for the pricing and hedging of swap rate path dependent European payoffs. We derive the absence of arbitrage condition for the conditional expectation approximation. The swap rate model relies on approximating all conditional expectation processes using the standard techniques. The resulting model is able to incorporate the absence of arbitrage constraint together with functional relations when several conditional expectations are involved. The approach is illustrated on the variance swap example.\",\"PeriodicalId\":378972,\"journal\":{\"name\":\"ERN: Swaps & Forwards (Topic)\",\"volume\":\"89 8 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2013-01-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Swaps & Forwards (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2208152\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Swaps & Forwards (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2208152","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
We propose an alternative swap rate model for the pricing and hedging of swap rate path dependent European payoffs. We derive the absence of arbitrage condition for the conditional expectation approximation. The swap rate model relies on approximating all conditional expectation processes using the standard techniques. The resulting model is able to incorporate the absence of arbitrage constraint together with functional relations when several conditional expectations are involved. The approach is illustrated on the variance swap example.