CHH模型下CMS价差期权定价

Journal of Fixed Income Pub Date : 2023-02-02 DOI:10.3905/jfi.2023.1.155

Ren‐Raw Chen, Xiaowei Li, Pei-lin Hsieh

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引用次数: 0

摘要

基于Chen，Hsieh和Huang（2017）利率模型，本研究探讨了CMS价差期权定价的分析方法。我们首先推导了由顺序正向速率组成的两个交换速率的复关节密度，并通过二元法线近似关节密度。在应用Pearson（1995）和Li，Deng和Zhou（2008）的方法后，我们得到了两个分析定价模型，并使用数值分析检验了它们的准确性。最后，我们实证展示了CMS期权隐含波动性对未来经济状态的预测能力。

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CMS Spread Options Pricing under the CHH Model

Based on the Chen, Hsieh, and Huang (2017) interest rate model, this research explores the analytical approach for pricing CMS spread options. We first derive a complex joint density for two swap rates composed of sequential forward rates and approximate the joint density by bivariate normals. After applying the methods of Pearson (1995) and Li, Deng, and Zhou (2008), we obtain two analytical pricing models and examine their accuracy using numerical analysis. Finally, we empirically show the predictive power of the implied volatility of CMS options for future economic states.

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来源期刊

Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.