Three-Factor Interest Rate Models & Numerical Solution of American Swaptions.
主 题: Three-Factor Interest Rate Models & Numerical Solution of American Swaptions.
报告人: Prof.Youlan Zhu ((美国.北卡罗大学))
时 间: 0000-00-00
地 点: 理科一号楼1560
in the talk. In this model, the prices of three zero-coupon bonds are chosen as state random variables. These random variables are defined on a finite domain and pricing of interest rate derivatives are reduced to solving a final-value problem of degenerate parabolic equations on a finite domain. All the coefficients in the P.D.E. can be easily obtained by the market data and the model can be really applied to evaluting interest rate derivatives in practice. As an example, numerical solution of American swaptions will be described and numerical results will be given.