| dc.contributor | 財管系 | |
| dc.creator (作者) | 岳夢蘭 | |
| dc.creator (作者) | Yueh, Meng-Lan;Wu, Cho-Jui | |
| dc.date (日期) | 2024-03 | |
| dc.date.accessioned | 24-May-2024 11:00:32 (UTC+8) | - |
| dc.date.available | 24-May-2024 11:00:32 (UTC+8) | - |
| dc.date.issued (上傳時間) | 24-May-2024 11:00:32 (UTC+8) | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/151238 | - |
| dc.description.abstract (摘要) | The adoption of SOFR introduces valuation and hedging challenges for derivatives due to its backward-looking settlement style. Despite the availability of analytical pricing formulae for vanilla SOFR derivatives, the early-stage SOFR swaptions market impedes model implementation and empirical validation due to insufficient liquidity and lack of historical data. This article develops a mechanism to convert volatility quotes from actively traded LIBOR swaptions to emerging SOFR swaptions. The proposed mechanism facilitates the transfer of price information embedded in LIBOR-based swaptions to SOFR-based swaptions, contributing to the establishment of a crucial SOFR swaption market for trading volatilities associated with the new benchmark. | |
| dc.format.extent | 137 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Journal of Derivatives | |
| dc.title (題名) | Inferring the Implied Volatility of SOFR-Based Swaptions | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.3905/jod.2024.1.201 | |
