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Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models
http://hdl.handle.net/2261/35797
http://hdl.handle.net/2261/35797d1cfafe2-78b6-43cc-bc36-6e4bc5adf2ee
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2017-01-17 | |||||
| タイトル | ||||||
| タイトル | Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Asymptotic Expansion | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Local Volatility | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Affine-type Stochastic Volatility | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Libor Market Model | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Approximation Formula | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Shiraya, Kenichiro
× Shiraya, Kenichiro× Takahashi, Akihiko× Yamazaki, Akira |
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| 著者別名 | ||||||
| 識別子Scheme | WEKO | |||||
| 識別子 | 98551 | |||||
| 姓名 | 白谷, 健一郎 | |||||
| 著者別名 | ||||||
| 識別子Scheme | WEKO | |||||
| 識別子 | 98552 | |||||
| 姓名 | 高橋, 明彦 | |||||
| 著者所属 | ||||||
| 著者所属 | Mizuho-DL Financial Technology Co.,Ltd. | |||||
| 著者所属 | ||||||
| 著者所属 | Graduate School of Economics, the University of Tokyo | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | 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 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | Revised in October 2011 and February 2012; forthcoming in Wilmott Journal. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-737, 発行日 2010-04 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 335 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| Center for International Research on the Japanese Economy | ||||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf737ab.html | |||||
