摘要
這篇研究使用了 Heath, Jarrow and Morton 模型來評價平均利率交換契約，並可以推導出封閉解。其中，此平均利率交換契約的浮動利率報酬的部分，是由在兩個連續時間點內的平均即期 LIBOR 利率所定義，且我們從風險中立的市場下轉換到遠期中立的市場下來做評價。然後，我們敘述平均利率交換契約的評價性質和與標準利率交換契約的性質做比較，並且找出使兩者交換利率產生差異的重要因素為利率期初期間結構的曲線和利息交換的間隔時間。且此評價模型導入殖利率曲線的概念，所以只需要觀察期初的期間結構和變動項的期間結構。其所用參數可由市場觀測而得，因此深具便利性和實用性。
並列摘要
This search uses the Heath, Jarrow and Morton Model to derive closed-form solution for average interest rate swaps, whose floating-rate payment are determined by the average spot LIBOR rates over a period between two consecutive settlement dates. And we change from risk-neutral probability measure to forward martingale probability measure. We describle the valuating properties of average interest rate swaps and compare them with those of standard interest rate swaps, and we show that the important factors that make the swap rate of average and standard interest rate swaps different are the shape of the initial term structure of interest rates and the length of reset periods. This pricing model into the concept of yield curve, so only need to observe the initial term structure of interest rates and volatility term structure function. Its parameters can be derived from observing the market, so great convenience and practicality.