48437期权及其他衍生产品9赫尔.pptxVIP

Chapter 29Interest Rate Derivatives: The Standard Market ModelsOptions, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014The Complications in Valuing Interest Rate Derivatives (page 673) We need a whole term structure to define the level of interest rates at any timeThe stochastic process for an interest rate is more complicated than that for a stock priceVolatilities of different points on the term structure are differentInterest rates are used for discounting the payoff as well as for defining the payoff. When OIS discounting is used for a product whose payoffs depe