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タイトル: Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models
著者: Shiraya, Kenichiro
Takahashi, Akihiko
Yamazaki, Akira
著者(別言語): 白谷, 健一郎
高橋, 明彦
キーワード: Asymptotic Expansion
Local Volatility
Affine-type Stochastic Volatility
Libor Market Model
Approximation Formula
発行日: 2010年4月
出版者: 日本経済国際共同センター
抄録: This paper presents a new approximation formula for pricing swaptions and caps/floors under the Libor market model of interest rates (LMM) with the local and affine-type stochastic volatility. In particular, two approximation methods are applied in pricing, one of which is so called “drift-freezing” that fixes parts of the underlying stochastic processes at their initial values. Another approximation is based on an asymptotic expansion approach. An advantage of our method is that those approximations can be applied in a unified manner to a general class of local-stochastic volatility models of interest rates. // To demonstrate effectiveness of our method, the paper takes CEVHeston LMM and Quadratic-Heston LMM as examples; it confirms sufficient flexibility of the models for calibration in a caplet market and enough accuracies of the approximation method for numerical evaluation of swaption values under the models.
内容記述: Revised in October 2011 and February 2012; forthcoming in Wilmott Journal.
URI: http://hdl.handle.net/2261/35797
その他の識別子: CIRJE-F-737
出現カテゴリ:061 ディスカッションペーパー
Discussion Paper F series (in English)


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