船体
数学
计量经济学
波动性(金融)
数理经济学
经济
统计
工程类
海洋工程
作者
Vincenzo Russo,Frank J. Fabozzi
出处
期刊:Journal of Derivatives
[Pageant Media US]
日期:2023-06-07
卷期号:31 (1): 96-110
标识
DOI:10.3905/jod.2023.1.186
摘要
The transition from interbank offered rates (IBOR) to the new risk-free rates, and in particular the adoption of the backward-looking approach in place of the forward-looking one, affects the interest rate modeling and the pricing of interest rate derivatives. In this article, we introduce the pricing formula for caplets/floorlets with backward-looking risk-free rates under the one- and two-factor Hull-White model. In particular, we derive the appropriate volatility function for caplets/floorlets to be used in the pricing formula under the two-factor Hull-White model and, implicitly, under the one-factor Hull-White model. Our formulation allows us to obtain, as a particular case, the caplet/floorlet formula under the IBOR environment with a forward-looking rates approach. A numerical analysis is performed to illustrate the main feature of the proposed model and in order to provide a comparison in evaluating caplets/floorlets under both forward-looking and backward-looking approaches.
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