Estimation of bid-ask prices for options on LIBOR based instruments

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Estimation of bid-ask prices for options on LIBOR based instruments

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作者：Masimba Energy Sonono ; ^a ; ^{energy.sonono@nwu.ac.za" class="auth_mail" title="E-mail the corresponding author} ; Hopolang Phillip Mashele^b ; ^{phillip.mashele@nwu.ac.za" class="auth_mail" title="E-mail the corresponding author}
关键词：Interest rate ; LIBOR ; Caps ; Floors ; Bid-ask prices ; Wang transform
刊名：Finance Research Letters
出版年：2016
出版时间：November 2016
年：2016
卷：19
期：Complete
页码：33-41
全文大小：442 K

文摘

•: An approach to estimate bid-and-ask premiums for caps and floors is proposed.
•: The proposed approach factors in the risk sentiments prevailing in the market.
•: The unhedgeable risk is reduced through the proposed approach.
•: The proposed approach can make market participants reach consensus on the premiums.

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