平均利率買權之評價、避險及應用

Average Interest Rate Call: Pricing, Hedging and Application

10.6545/JFS.2003.11(1).3

李賢源(Shyan-Yuan Lee)；謝承熹(Cheng-Hsi Hsieh)；陳其財(Chi-Tsai Chen)

利率期間結構 ； 利率選擇權 ； 平均利率買權 ； 平均利率賣權 ； Term Structure of Interest Rate ； Interest Rate Options ； Average Interest Rate Call ； Average Interest Rate Put

財務金融學刊

11卷1期（2003 / 04 / 30）

67 - 93

繁體中文

本文研究新奇利率衍生性金融商品－平均利率買權（Average Interest Rate Call）。文中修正並推廣Longstaff（1995）的評價模型，以較符合實務應用的間斷型態指標利率、而非理論性質之連續時間短率（Instantaneous Interest Rate）求算平均利率；接著本文應用Levy（1992）及Vorst（1992）評價亞式外匯選擇權的分析技術，求得間斷型態的平均利率買權近似解。由於本文所得之近似解不僅與市場上現存的利率期間結構吻合，而且使用的指標利率可由市場觀察得到，因而較具實用性。最後，本文亦討論平均利率買權之避險與應用。

This paper explores exotic derivatives of interest rate. which we particularly refer to the average interest rate call. The average interest rate call pricing model proposed by Longstaff (1995) has been modified and extended in a way that the underlying average rate is constructed by observable and commonly-used discrete rate rather than unobservable and continuous-time short rate. Additionally, methods used by Levy (1992) and Vorst (1992) for Asian currency options arc applied to price the average interest rate call; and two approximation formulas for pricing this average call arc derived. The new developed formulas are not only consistent with the current term structure prevailed in the market. but also ready to apply since the rates used to compute the average rate arc observable. Both the hedging strategy and the applications for the new contract arc also discussed in the paper

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