タイトル(掲載誌)CRR Working Paper, Series B
一般注記type:Technical Report
The LIBOR market (LM) model (Brace, Gatarek, and Musiela [8],Miltersen, Sandmann, Sondermann [21], and Jamshidian [18]) is a HeathJarrow-Mortonmodel (Heath, Jarrow, and Morton [15]) specified to be aninterest rate version of the celebrated Black-Scholes model of stock price, andis the most popular among practitioners and researchers. However, a statisticaltest (Kusuda [19]) rejected the LM model, and suggested that the deterministicvolatility in the LIBOR market model should be replaced with a stochasticone and/or that a jump process should be introduced into the LM model. Thispaper presents a stochastic volatility jump-diffusion LM model using a generalequilibrium security market model of Kusuda [19]. Approximate generalequilibrium pricing formulas for caplet and swaption are derived exploiting theforward martingale measure approach (Jamshidian [17]) and a Fourier transformmethod (Heston [16], Bates [4], and Duffie, Pan, and Singleton [13]).
identifier:CRR Working Paper, Series B, No. B-7, pp. 1-21
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)