Valuation of CMS range notes in a multifactor LIBOR market model

被引：0
|
作者：
Wu, Ping [1 ]
Elliott, Robert J. [2 ,3 ,4 ]
机构：
[1] Nanjing Univ Informat Sci & Technol, Sch Math & Stat, Nanjing, Jiangsu, Peoples R China
[2] Univ Calgary, Haskayne Sch Business, 2500 Univ Dr NW, Calgary, AB, Canada
[3] Univ Adelaide, Sch Math, Adelaide, SA 5000, Australia
[4] Univ South Australia, Ctr Appl Financial Studies, Adelaide, SA 5001, Australia
来源：
INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING | 2016年 / 3卷 / 01期
关键词：
LIBOR market model; constant maturity swap; CMS range notes;
D O I：
10.1142/S2424786316500018
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In the framework of a multifactor LIBOR market model (LMM), this paper presents a new approach for finding an approximate distribution of constant maturity swap (CMS) rates under the terminal martingale measure. With this approach, we derive an analytical pricing formula for CMS range notes, which is both intuitive and tractable. Many exotic CMS rate derivatives are widely traded in the marketplace or embedded in structure notes.
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收藏
页数：19
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