交叉货币百慕大式互换期权的定价

Valuation of Cross-Currency Bermudan Swaption

  • 摘要: 本文首先研究了涉及两种货币市场的Hull-White随机利率模型. 以此为基础, 本文给出了交叉货币百慕大式互换期权的定价公式. 由于无法得到显式定价公式, 我们使用了Least Squared Monte-Carlo算法来确定期权的最优执行时刻. 最后本文给出了数值计算方面的结果.

     

    Abstract: This paper extends Hull-White interest rate model to cover cross-currency case. In the extended model we discuss valuation of cross-currency Bermudan swaptions. Since the closed-form pricing formula is hard to obtain, we apply the Least Squared Monte-Carlo approach to find the optimal exercising time. Some numerical results with different parameters are presented.

     

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