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An analytical formula for pricing interest rate swaps in terms of bondprices under the extended Cox-Ingersoll Ross model |
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| รหัสดีโอไอ | |
| Creator | 1. Nopporn Thamrongrat 2. Sanae Rujivan |
| Title | An analytical formula for pricing interest rate swaps in terms of bondprices under the extended Cox-Ingersoll Ross model |
| Publisher | Research and Development Office, Prince of Songkla University |
| Publication Year | 2021 |
| Journal Title | Songklanakarin Journal of Science and Technology (SJST) |
| Journal Vol. | 43 |
| Journal No. | 4 |
| Page no. | 987-992 |
| Keyword | interest rate swaps, bond prices, analytical pricing formula, extended CIR model |
| URL Website | https://rdo.psu.ac.th/sjstweb/index.php |
| ISSN | 0125-3395 |
| Abstract | This paper presents an analytical formula for pricing interest rate swaps (IRSs) in terms of bond prices in which theinterest rates are assumed to follow the extended Cox-Ingersoll-Ross model. Furthermore, we analytically investigate someasymptotic properties of the fair price of IRSs. Numerical tests are provided to demonstrate the accuracy and efficiency of ourcurrent approach compared with the Monte-Carlo simulations. |
