Analytic Approximations for Valuing Ratchet Caps in the LIBOR Market Model
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | 변석준 | - |
| dc.date.accessioned | 2008-07-03T01:58:26Z | - |
| dc.date.available | 2008-07-03T01:58:26Z | - |
| dc.date.created | 2012-02-06 | - |
| dc.date.issued | 2003 | - |
| dc.identifier.citation | Fourth Proceedings of Korean Securities Association, v., no., pp. - | - |
| dc.identifier.uri | http://hdl.handle.net/10203/5411 | - |
| dc.description.abstract | This paper provides two analytic approximation formulas for pricing ratchet caps in the LIBOR market model. The approximate values of a ratchet caplet are represented as sums of Black’s (1976) regular caplet prices. So, these pricing formulas are extremely fast and easily implemented. The formulas can be easily extended to incorporate multiple factors. Illustrative numerical examples are provided and comparisons with results from Monte-Carlo implementation of the LIBOR market model are presented. | - |
| dc.language | ENG | - |
| dc.language.iso | en_US | en |
| dc.publisher | Korean Securities Association | - |
| dc.title | Analytic Approximations for Valuing Ratchet Caps in the LIBOR Market Model | - |
| dc.type | Conference | - |
| dc.type.rims | CONF | - |
| dc.citation.publicationname | Fourth Proceedings of Korean Securities Association | - |
| dc.identifier.conferencecountry | South Korea | - |
| dc.identifier.conferencecountry | South Korea | - |
| dc.contributor.localauthor | 변석준 | - |
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