文章基本信息

标题：Valuation of Game Swaptions under the Generalized Ho-Lee Model
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作者：Aki Ebina ; Natsumi Ochiai ; Masamitsu Ohnishi 等
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2016
卷号：06
期号：05
页码：1002-1016
DOI：10.4236/jmf.2016.65065
语种：English
出版社：Scientific Research Publishing
摘要：A game swaption, newly proposed in this paper, is a game version of usual interest-rate swaptions. It provides the both parties, fixed-rate payer and variable rate payer, with the right that they can choose an exercise time to enter a swap from a set of prespecified multiple exercise opportunities. We evaluate two types of game swaptions: game spot-start swaption and game forward-start swaption, under the generalized Ho-Lee model. The generalized Ho-Lee model is an arbitrage-free binomial-lattice interest-rate model. Using the generalized Ho-Lee model as a term structure model of interest rates, we propose an evaluation method of the arbitrage-free price for the game swaptions via a stochastic game formulation, and illustrate its effectiveness by some numerical results.
关键词：Generalized Ho-Lee Model;Game Spot-Start Swaption;Game Forward-Start Swaption;Stochastic Game Formulation;Dynamic Programming Approach