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College of Engineering(공과대학)Dept. of Nuclear and Quantum Engineering(원자력및양자공학과)NE-Journal Papers(저널논문)

Analytic valuation formulas for range notes and an affine term structure model with jump risks

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dc.contributor.authorJang B.-G.ko
dc.contributor.authorYoon J.H.ko
dc.date.accessioned2013-03-09T00:06:43Z-
dc.date.available2013-03-09T00:06:43Z-
dc.date.created2012-02-06-
dc.date.created2012-02-06-
dc.date.issued2010-
dc.identifier.citationJOURNAL OF BANKING & FINANCE, v.34, no.9, pp.2132 - 2145-
dc.identifier.issn0378-4266-
dc.identifier.urihttp://hdl.handle.net/10203/94750-
dc.description.abstractWe derive analytic valuation formulas for range accrual notes and spread range accrual notes under an affine term structure model with jump risks. We show that the value of a range accrual note can be significantly affected by the choice of interest rate model and the arrival intensity of jump risks. We also show that misuse of the correlation between reference rates of a spread range accrual note may lead traders and risk managers to mispricing of the note. (C) 2010 Elsevier B.V. All rights reserved.-
dc.languageEnglish-
dc.publisherELSEVIER SCIENCE BV-
dc.subjectCOUPON-BOND OPTIONS-
dc.subjectINTEREST-RATES-
dc.subjectROSS MODEL-
dc.subjectINGERSOLL-
dc.subjectSWAPTIONS-
dc.subjectCOX-
dc.titleAnalytic valuation formulas for range notes and an affine term structure model with jump risks-
dc.typeArticle-
dc.identifier.wosid000280211000010-
dc.identifier.scopusid2-s2.0-77954143657-
dc.type.rimsART-
dc.citation.volume34-
dc.citation.issue9-
dc.citation.beginningpage2132-
dc.citation.endingpage2145-
dc.citation.publicationnameJOURNAL OF BANKING & FINANCE-
dc.identifier.doi10.1016/j.jbankfin.2010.01.019-
dc.contributor.localauthorJang B.-G.-
dc.contributor.nonIdAuthorYoon J.H.-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorRange note-
dc.subject.keywordAuthorStructured note-
dc.subject.keywordAuthorHybrid note-
dc.subject.keywordAuthorAffine term structure-
dc.subject.keywordAuthorJump diffusion-
dc.subject.keywordAuthorEquilibrium model-
dc.subject.keywordPlusCOUPON-BOND OPTIONS-
dc.subject.keywordPlusINTEREST-RATES-
dc.subject.keywordPlusROSS MODEL-
dc.subject.keywordPlusINGERSOLL-
dc.subject.keywordPlusSWAPTIONS-
dc.subject.keywordPlusCOX-
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