| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w6045 |
| 来源ID | Working Paper 6045 |
| Average Interest | |
| George Chacko; Sanjiv Ranjan Das | |
| 发表日期 | 1997-05-01 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | We develop analytic pricing models for options on averages by means of a state-space expansion method. These models augment the class of Asian options to markets where the underlying traded variable follows a mean-reverting process. The approach builds from the digital Asian option on the average and enables pricing of standard Asian calls and puts, caps and floors, as well as other exotica. The models may be used (i) to hedge long period interest rate risk cheaply, (ii) to hedge event risk (regime based risk), (iii) to manage long term foreign exchange risk by hedging through the average interest differential, (iv) managing credit risk exposures, and (v) for pricing specialized options like range-Asians. The techniques in the paper provide several advantages over existing numerical approaches. |
| URL | https://www.nber.org/papers/w6045 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563550 |
| 推荐引用方式 GB/T 7714 | George Chacko,Sanjiv Ranjan Das. Average Interest. 1997. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w6045.pdf（376KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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