期权、期货和其他衍生品英文课件：Ch28 Interest Rate Derivatives The Standard Market Models.pptVIP

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期权、期货和其他衍生品英文课件：Ch28 Interest Rate Derivatives The Standard Market Models.ppt

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* * * * * * * * * * * * Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Chapter 28Interest Rate Derivatives: The Standard Market Models Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * The Complications in Valuing Interest Rate Derivatives (page 648) We need a whole term structure to define the level of interest rates at any time The stochastic process for an interest rate is more complicated than that for a stock price Volatilities of different points on the term structure are different Interest rates are used for discounting the payoff as well as for defining the payoff Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Approaches to PricingInterest Rate Options Use a variant of Black’s model Use a no-arbitrage (yield curve based) model Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Black’s Model Similar to the model proposed by Fischer Black for valuing options on futures in 1976 Assumes that the value of an interest rate, a bond price, or some other variable at a particular time T in the future has a lognormal distribution Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Black’s Model for European Bond Options (Equations 28.1 and 28.2, page 649) Assume that the future bond price is lognormal Both the bond price and the strike price should be cash prices not quoted prices Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Forward Bond and Forward Yield Approximate duration relation between forward bond price, FB, and forward bond yield, yF where D is the (modified) dur