The Valuation of Swaptions with Stochastic Volatility
| Autor: | LEE,YU,TONG, 李昱同 |
|---|---|
| Rok vydání: | 2015 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 103 Interest rate swaptions are important and efficient tools for hedging interest rate risks in the financial market. Black (1976) model is traditionally applied by the practitioner for the valuations of interest rate derivatives. Yet, the constant volatility assumption of Black (1976) model is inconsistent with the financial markets. The contributions of this thesis are firstly developing stochastic volatility (SV) European interest rate swaptions models, which combined the works of Black (1976) and Heston (1993). Secondly, we integrated the studies of Huang et al. (1996), Black (1976) and Heston (1993) to deriving American interest rate swaptions approximate models. According to the numerical analyses in Black (1976) and our SV-Black models, the stochastic volatility features will significantly affect the values of both European and American interest rate swaptions. Therefore, investor will suffer from severely model risks if they apply the traditional constant volatility Black (1976) model in pricing interest rate swaptions. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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