替代掉期利率模型

Deimante Rheinlaender
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引用次数: 0

摘要

我们提出了一种替代掉期利率模型,用于定价和对冲依赖于掉期利率路径的欧洲收益。导出了条件期望近似的无套利条件。互换利率模型依赖于使用标准技术近似所有条件期望过程。所得到的模型能够在涉及多个条件期望时将套利约束的缺失与函数关系结合起来。通过方差交换的例子说明了该方法。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Alternative Swap Rate Model
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.
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