亞式利率交換契約之評價:利用LIBOR Market Models

Pricing Asian-Style Interest Rate Swaps Using LIBOR Market Models

洪怡真(Yi-Chen Hung)

指導教授 ： 張傳章

國立中央大學/管理學院/財務金融學系/碩士(2006年)

摘要

摘要

本文的目的是利用LIBOR Market Model來評價亞式利率交換契約,在亞式利率交換契約中,浮動利率支付的部分,主要運用LIBOR Market Model並在兩個連續的利率重設日,求得平均的浮動利率,我們算出平均的浮動利率,並比較標準的利率交換契約及兩種形式的亞式利率交換契約在不同參數變動下的變化情形,且發現利率期間結構的斜率及利率重設期間的長度,是影響標準的利率交換契約及亞式利率交換契約差異的很重要的因素。

關鍵字

利率模型 ； 亞式 ； 交換契約

並列摘要

Abstract

This study uses the LIBOR Market Model to price Asian-style interest rate swaps. In an Asian-style interest rate swap contract, the floating payment is determined by the average LIBOR rate between two consecutive settlement dates under the LIBOR Market Model. We deal with the average LIBOR rates and compare two types of Asian-style interest rate swaps and standard interest rate swaps with different sets of interest rate parameters. We find out that the shape of the initial term structure and the reset periods of the interest rate swap are important factors to make the swap rates of the Asian-style and standard interest rate swaps different.

並列關鍵字

Asian style ； Swap ； LIBOR Market Model

參考文獻

A. Brace, D. Gatarek, and M. Musiela, “The Market Model of Interest Rate Dynamics,” Mathematical Finance, Vol. 7, No.2 (April 1997). pp. 127-155.

BRACE, A., and M. MUSIELA (1994a): “A Multifactor Gauss-Markov Implementation of Heath, Jarrow and Morton,” Math Finance, 2, 259-283.

Brigo. Mercurio, “ Damano Brigo Fabio Mercurio,” 2001.

Chance, Don M, and Don R. Rich “Asset Swaps With Asian-style Payoffs.” The Journal of Derivatives, Summer 1996, pp. 64-77.

Chang. C.C and S.L. Chung (2002), “Pricing Asian Style Interest Rate Swaps,” The Journal of Derivatives, pp. 45-55.