Songklanakarin Journal of Science and Technology, Volume 43, Issue 4, Pages 987-992 , 01/07/2021
An analytical formula for pricing interest rate swaps in terms of bond prices under the extended cox-ingersoll ross model
Abstract
This paper presents an analytical formula for pricing interest rate swaps (IRSs) in terms of bond prices in which the interest rates are assumed to follow the extended Cox-Ingersoll-Ross model. Furthermore, we analytically investigate some asymptotic properties of the fair price of IRSs. Numerical tests are provided to demonstrate the accuracy and efficiency of our current approach compared with the Monte-Carlo simulations.
Document Type
Article
Source Type
Journal
Keywords
Analytical pricing formulaBond pricesExtended CIR modelInterest rate swaps
ASJC Subject Area
Multidisciplinary : Multidisciplinary
Funding Agency
National Science and Technology Development Agency