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초록
영어
The main purpose of this paper is to derive the analytic valuation formulae of xed range accrual notes (FiRAN) and oating range accrual notes (FlRAN) in the context of an a¢ ne term-structure model incorporating stochastic long-run mean, stochastic volatility and jumps according to the empirical ndings of An- dersen et al.(2004). We propose a quasi-analytic pricing and hedging solutions for range accrual notes and these solutions are demonstrated in sensitivity analysis. Our numerical results show all these three factors signi cantly a¤ect the values and hedging strategies of range accural notes, and the factor of stochastic mean plays the most important role in either valuation or hedging.
목차
Abstract
1 Introduction
2 A¢ ne Term Structure Model
3 FiRAN and FlRAN Frameworks
3.1 Building Blocks for RANs
3.2 Valuing Range Accrual Notes
4 A Three-FactorModel with StochasticMean, Stochastic Volatility, and Jump
4.1 Hedging RANs
5 Sensitivity Analysis
5.1 Sensitivity of Model Speci•cation
5.2 Sensitivity of Risks
6 Conclusion
References
Appendix
Table
1 Introduction
2 A¢ ne Term Structure Model
3 FiRAN and FlRAN Frameworks
3.1 Building Blocks for RANs
3.2 Valuing Range Accrual Notes
4 A Three-FactorModel with StochasticMean, Stochastic Volatility, and Jump
4.1 Hedging RANs
5 Sensitivity Analysis
5.1 Sensitivity of Model Speci•cation
5.2 Sensitivity of Risks
6 Conclusion
References
Appendix
Table
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자료제공 : 네이버학술정보