Caplet pricing in affine models for alternative risk-free rates

Autor:	Fontana, Claudio
Rok vydání:	2022
Předmět:	Quantitative Finance - Pricing of Securities Quantitative Finance - Mathematical Finance 60J25 91G15 91G20 91G30
Druh dokumentu:	Working Paper
Popis:	Alternative risk-free rates (RFRs) play a central role in the reform of interest rate benchmarks. We study a model for RFRs driven by a general affine process. Under minimal assumptions, we derive explicit valuation formulas for forward-looking and backward-looking caplets/floorlets, term-basis caplets as well as 1-month and 3-month RFR futures contracts. Comment: 19 pages (a shortened version is forthcoming in SIAM J. Financ. Math.)
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2202.09116 Zobrazit plný text záznamu View this record from Arxiv