文献类型：期刊文献

英文题名：Barrier swaption pricing formulae of mean-reverting model in uncertain environment

作者：Lu, Jing[1];Yang, Xiangfeng[1];Tian, Miao[2]

机构：[1]Univ Int Business & Econ, Sch Informat Technol & Management, Beijing 100029, Peoples R China;[2]East China Univ Sci & Technol, Dept Math, Shanghai 200237, Peoples R China

年份：2022

卷号：160

外文期刊名：CHAOS SOLITONS & FRACTALS

收录：;EI(收录号：20222112140825);WOS:【SCI-EXPANDED(收录号:WOS:000805060600006)】；

语种：英文

外文关键词：Uncertain finance; Barrier swaption; Mean-reverting model; Minimum cover estimation

摘要：Barrier swaption is an exotic option, in which the option purchaser has the right to decide whether the swaption will come into effect within a period and it becomes effective (invalid) only when the underlying rises (falls) to the barrier price. This paper studies four kinds of barrier swaptions based on the mean-reverting model, which are up-and-in payer swaption, down-and-in receiver swaption, down-and-out payer swaption, up-and-out receiver swaption, and the price calculation formulae are given. Then, the related parameters are calculated by the minimum cover estimation method. Finally, the examples are given. (c) 2022 Elsevier Ltd. All rights reserved.