本文在连续远期利率期限结构Brace, Gatarek and Musiela(BGM)模型框架下研究了一类新的利率期权,即具有可变执行利率的利率上限、利率下限和利率双限的定价问题,并分别给出它们价格的解析解,进一步拓宽了Black-Scholes期权定价公式的应用.
Abstract
In this paper, under the framework of Brace, Gatarek and Musiela(BGM) model for term structure of continuous forward interest rate, the pricing problem of a new kind of interest rate options, namely caps, floors and collars with changeable exercise interest rates are discussed, and analytic solutions of their pricing are given. The results extend the application of Black-Scholes pricing formulas.
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