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Valuación de Swaptions Bermuda basada en el modelo LIBOR adaptado a vectores frontera

Author

Listed:
  • Igor P. Rivera

    (Tecnológico de Monterrey)

  • Enzo D'Antonio di Vito

    (BBVA Bancomer)

  • Andrés Fundia

    (Infonavit)

Abstract

This paper studies the computation of the price of a type of Bermuda Swaptions based on the Libor Model (LMM) interest rate vector Monte Carlo algorithm adapted to value American options, which are exercised at the boundary or exercise early. This approach has the advantage of being quickly to implement and get reasonable estimations of the value of Bermuda swaptions

Suggested Citation

  • Igor P. Rivera & Enzo D'Antonio di Vito & Andrés Fundia, 2011. "Valuación de Swaptions Bermuda basada en el modelo LIBOR adaptado a vectores frontera," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 5(1), pages 77-92.
    • Handle: RePEc:ega:rafega:201106
    as

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    References listed on IDEAS

    as
    1. Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," The Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 113-147.
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    3. Driessen, Joost & Klaassen, Pieter & Melenberg, Bertrand, 2003. "The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(3), pages 635-672, September.
    4. Leif Andersen & Jesper Andreasen, 2000. "Volatility skews and extensions of the Libor market model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(1), pages 1-32.
    5. Andrés D. Fundia, 2002. "A Fast Monte Carlo Algorithm For Pricing American Options," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 1(3), pages 243-253, Septiembr.
    6. Fabio Fornari, 2004. "Macroeconomic announcements and implied volatilities in swaption markets," BIS Quarterly Review, Bank for International Settlements, September.
    7. Broadie, Mark & Glasserman, Paul, 1997. "Pricing American-style securities using simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1323-1352, June.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Valuación de derivados de tasa de interés; Swaptions Bermuda; Simulación Monte Carlo;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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