 
|
|
|
フナハシ ヒデハル
Funahashi Hideharu 舟橋 秀治 所属 神奈川大学 経済学部 経済学科/現代ビジネス学科 神奈川大学大学院 経済学研究科 経済学専攻（公共政策コース） 職種 准教授 |
|
| 言語種別 | 英語 |
| 発行・発表の年月 | 2020/08 |
| 形態種別 | 学術雑誌 |
| 査読 | 査読あり |
| 標題 | Funahashi, H. (2020), "An Approximate Swaption Formula in Heath-Jarrow-Morton Models," Journal of Derivatives, 27(4), 30 - 50 |
| 執筆形態 | 単著 |
| 掲載区分 | 国外 |
| 概要 | This article provides an analytical approximation formula for a swaption price when the instantaneous forward rate follows a Heath-Jarrow-Morton (HJM) model. Our approximation strategy, based on the chaos expansion approximation, is to replicate the probability density function of the complex quasi-Gaussian process from a simpler one, which has a semi-closed form solution. It is not restricted to the liner approximation, as is the technique proposed by the existing literature, but can be extended to higher order approximations. Moreover, computation of our approximation is fast; hence, it is suitable for calibration purposes. We illustrate our results through numerical implementation and calibration done using market data. |
Copyright © Kanagawa University. All Rights Reserved.