互换期权的近似计算方法在利率模型Quadratic Gaussian ++上的应用  

Applying Approximate Swaption Pricing to Interest Rate Model of Quadratic Gaussian ++

作　　者：黄文峰 徐艳艳 HUANG Wenfeng;XU Yanyan(MILIZE Inc.,Tokyo 105-0012 Japan;School of Science,Xihua University,Chendu 610039 China)

机构地区：[1]株式会社MILIZE [2]西华大学理学院,四川成都610039

出　　处：《西华大学学报（自然科学版）》2018年第1期17-26,共10页Journal of Xihua University:Natural Science Edition

摘　　要：对Quadratic Gaussian++这样的复杂利率模型,其互换期权价值的高速计算既是本身定价的需要,也是校正利率模型参数的需要。本文应用互换期权价值计算的近似方法,通过测度变换和Taylor展开,将复杂的期望值计算转化为正态分布变量的二次多项式形式的期望值计算,既获得了足够实用的计算精度(小于3.5%),又达到高速计算的要求(比直接数值积分快了约200倍),能够在实际计算中发挥作用。Swaption is one of the most basic and important instrument in the financial market.The high speed of its value pricing is required by not only the pricing itself,but also the calibration of model parameters for a certain interest rate model.This paper applies an approximate method with measure transformation and Taylor expansion to price the swaption value obeying the interest rate model of Quadratic Gaussian++.Consequently,the original complicated pricing becomes to calculate the expectation of the quadratic normal distribution easily.Some experiments show that the method behaves as about 200 times fast as the original pricing with numerical integration while high accuracy still remains(relative error is less than about 3.4 percent),which indicates that the method is possible for actual use.

关 键 词：互换期权 近似计算 利率模型 QUADRATIC Gaussian++ 

分 类 号：F224[经济管理—国民经济] F832.2