具有可变执行利率的利率上限定价研究

The pricing study of caps with changeable exercising interest rates

设计了一种新的利率衍生品,即具有可变执行利率的利率上限、利率下限和利率双限,然后在简单远期利率期限结构MSS模型框架下给出了它们的定价公式,并讨论了以其为融资工具的融资成本优化问题.

A new interest rate derivative, namely caps, floors and collars with changeable exercise interest rates, can be devised. Then, their pricing can be studied under the frame of the simple forward interest rate MSS model, and the financing cost optimization problems can be discussed. Finally, an illustrative example can be given.