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| 篇名 |
管理學報，
2001
第十八卷第三期：353-376
DOI：
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| 雙指數波動架構的利率衍生性模型 |
| Pricing Interest Rate Derivatives Under Double Exponential Volatility Structures |
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| 近年來許多的學者報告指出，在接近兩年期的遠期波動性具有隆凸型的架構。本文我們提出一隆凸型的波動架構用來作利率衍生性金融產品的定價。我們的架構非常的彈性並包括Extended Vasicek模型為特例。並且幾乎所有的歐式衍生性金融產品皆可以找到封閉解。我們將提供一些例子。最後，對於美式的契約，我們也概要敘述其快速的數值解。 |
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| 波動架構、利率模型、HJM模型、Extended Vasicek 及 Ho-Lee模型 |
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| Recently, several researchers report a hump in the forward volatility structure that peaks at around two-year maturity. In this article, we propose a possible humped volatility structure in the pricing of interest rate derivatives. Our volatility is very flexible and includes, as a special case, the simple extended Vasicek models. Almost all the closed-form solutions for European interest rate claims can be obtained. Examples of exact solutions for European claims will also be provided. Finally, for American contracts, numerical algorithms are outlined. |
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| Volatility structure, Interest rate model, HJM model, Extended Vasicek and Ho-Lee model. |
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