Empirical Tests on Caplets and Volatility Hump Structures: A Further Evidence

上限選擇權與隆凸型波動架構之實證研究：進一步的證據

莊益源(I-Yuan Chuang)

《財務金融學刊》 10卷2期 (2002/08) Pp. 23-61

https://doi.org/10.6545/JFS.2002.10(2).2

摘要

在本文裏，我們檢視幾個利率架構模型在上限選擇權市場的表現。我們所挑選的模型一方面可以補捉隆凸型的波動，一方面也存在封閉解。我們以一般化的Vasicek模型作為比較的基準，實證的結果顯示GGV與本文所建立的GGVT模型都是非常適當的選擇。

關鍵字

利率模型 ； 隆凸型波動 ； 上限選擇權 ； 校準

並列摘要

In this article, we evaluate the performance of several term structure model s for the cap market. We concern ourselves with the whole yield curve models that can capture the volatility hump while still remain analytically tractable. The generalized Vasicek is used as a benchmark model for comparison. Our results show that GGV and the proposed GGVT model s are decent choices.

並列關鍵字

Interest rate model ； volatility hump ； caplet ； calibration

參考文獻

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