亞式利率交換契約之評價:利用LIBOR Market Models

Abstract This study uses the LIBOR Market Model to price Asian-style interest rate swaps. In an Asian-style interest rate swap contract, the floating payment is determined by the average LIBOR rate between two consecutive settlement dates under the LIBOR Market Model. We deal with the average LIBOR rates and compare two types of Asian-style interest rate swaps and standard interest rate swaps with different sets of interest rate parameters. We find out that the shape of the initial term structure and the reset periods of the interest rate swap are important factors to make the swap rates of the Asian-style and standard interest rate swaps different.