The Implied Jump Risk of LIBOR Rates
This paper examines implied parameters from options on LIBOR futures. Jump-diffusion models are found to offer superior in-sample and out-of-sample performance when compared to their pure diffusion counterpart. The need to incorporate stochastic jump magnitudes into LIBOR dynamics is also documented...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2005
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/2637 https://ink.library.smu.edu.sg/context/lkcsb_research/article/3636/viewcontent/ImpliedJumpRiskLIBORrates_2005.pdf |
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| Institution: | Singapore Management University |
| Language: | English |