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