| dc.contributor | 財管系 | |
| dc.creator (作者) | 岳夢蘭 | |
| dc.creator (作者) | Shai, Ming-Chen;Wu, Cho-Jui;Yueh, Meng-Lan | |
| dc.date (日期) | 2026-03 | |
| dc.date.accessioned | 20-Apr-2026 10:20:49 (UTC+8) | - |
| dc.date.available | 20-Apr-2026 10:20:49 (UTC+8) | - |
| dc.date.issued (上傳時間) | 20-Apr-2026 10:20:49 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=182126 | - |
| dc.description.abstract (摘要) | We propose a tractable SOFR-swaption pricing framework that integrates Jamshidian’s decomposition with the one-factor Hull–White model in the extended forward-measure/extended-bond setting and derives closed-form formulae consistent with SOFR’s compounded-in-arrears convention. Model calibration generates a trader-ready σ-surface that supports interpolation across the expiry–tenor grid and facilitates pricing and mark-to-market valuation of less-liquid or bespoke contracts. Empirical results show good fit for short- and intermediate-maturity swaptions but significant errors for long-dated options, highlighting both the model’s practical value and its structural limitations. | |
| dc.format.extent | 102 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Journal of Derivatives, Vol.33, No.3, pp.127-147 | |
| dc.title (題名) | Trader-Ready SOFR Swaption Pricing: Jamshidian Decomposition under the Hull-White Model | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.3905/jod.2025.1.243 | |
| dc.doi.uri (DOI) | https://doi.org/10.3905/jod.2025.1.243 | |
