A Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives

• 資料種別: 文書・図像類
• タイトル: A Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives
• 著者・編者: Kusuda, Koji
• 著者標目: Kusuda, Koji
• 出版事項: Center for Risk Research (CRR), Shiga University
• 出版年月日等: 2005-05
• 出版年（W3CDTF）: 2005-05
• タイトル（掲載誌）: CRR Working Paper, Series B
• 巻号年月日等（掲載誌）: B-4
• 掲載巻: B-4
• 掲載ページ: 1-21
• 本文の言語コード: eng
• 件名標目: Approximately complete markets; Equilibrium pricing; Forward martingale measure; Interest rate derivative; Jump-diffusion model; LIBOR; LIBOR market model
• 対象利用者: 一般
• 一般注記: type:Technical Report; The LIBOR market (LM) model (Brace et al. [8], Miltersen etal. [27], and Jamshidian [16]) is an interest rate version of the Black-Scholesmodel of stock price. However, a statistical test (Kusuda [22]) rejected theLM model and suggested that a jump process should be introduced into theLM model. This paper presents a jump-diffusion LM model using a generalequilibrium security market model (Kusuda [21] [23] [24]) with jump-diffusioninformation. Approximate general equilibrium pricing formulas for caplet andswaption are derived. Also, a method of specification and estimation of thejump-diffusion LM model is presented.; identifier:CRR Working Paper, Series B, No. B-4, pp. 1-21
• オンライン閲覧公開範囲: 限定公開
• 連携機関・データベース: 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）; https://irdb.nii.ac.jp
• 提供元機関・データベース: 滋賀大学 : 滋賀大学学術情報リポジトリ