منابع مشابه
Hedging~interest Rate Risk with Options on Average Interest Rates
MARCH 1995 Hedging interest rate risk has become one of the most common and important types of a financial manager's risk management activities. A classic example is for a firm to hedge its cost of funds by using an interest rate cap to place an upper bound on its borrowing costs. The hedge typically consists of a sequence of individual call options on the interest rate, with option expiration ...
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We price moneyness-based portfolio returns on the LIBOR futures options in an Intertemporal CAPM framework as an extension of the pricing kernel approach. In contrast to existing studies for pricing index options, our results show that only the real interest rate is significant in the pricing kernel for LIBOR options. The polynomial pricing kernel with linear interpretation outperforms the iso-...
متن کاملBlack’s Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
Black’s (1995) model of interest rates as options assumes that there is a shadow instantaneous interest rate that can become negative, while the nominal instantaneous interest rate is a positive part of the shadow rate due to the option to convert to currency. As a result of this currency option, all term rates are strictly positive. A similar model was independently discussed by Rogers (1995)....
متن کاملInvestigating the Relationship between the Facility Interest Rate and the Bank Deposit Interest Rate in Iran
The facility interest rate is one of the most important macroeconomic variables. The bank facility interest rate is associated with other macro-economic variables, one of which is the bank deposit interest rate. Using the time series data of the 1973-2017 period and the simultaneous equation system, the researchers estimated four equations using the three-stage least squares method.The result o...
متن کاملOver the Counter Interest Rate Options
This paper provides a survey of the structure and use of the over the counter options market, focussing on interest rate options. It is based in part on interviews with eight market makers and one broker from the OTC interest rate options market in London. Options provide information about the uncertainty and probability distribution of market participants expectations for various asset prices...
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ژورنال
عنوان ژورنال: The Journal of Fixed Income
سال: 2018
ISSN: 1059-8596,2168-8648
DOI: 10.3905/jfi.2018.28.1.061