Estimation of bid-ask prices for options on LIBOR based instruments
| dc.contributor.author | Sonono, Masimba Energy | |
| dc.contributor.author | Mashele, Hopolang Phillip | |
| dc.contributor.researchID | 21234175 - Mashele, Hopolang Phillip | |
| dc.contributor.researchID | 23756144 - Sonono, Masimba Energy | |
| dc.date.accessioned | 2017-05-15T08:22:35Z | |
| dc.date.available | 2017-05-15T08:22:35Z | |
| dc.date.issued | 2016 | |
| dc.description.abstract | Interest rate options are the most liquid traded derivatives in the markets. We observe the following from the markets: (i) Market dealers usually quote the mid-price. The mid-price is a subjective and hypothetical price. (ii) OTC interest rate options market are incomplete, and options cannot always be costlessly replicated. (iii) The bid-ask prices are not widely available for the market as a whole. With these observations in mind, we propose an approach to estimate the bid-ask prices for options on LIBOR based instruments. In particular, we assess the proposed approach in the determination of premiums for caps and floors | |
| dc.identifier.citation | Sonono, M.E. & Mashele, H.P. 2016. Estimation of bid-ask prices for options on LIBOR based instruments. Finance research letters, 19:33-41. [https://doi.org/10.1016/j.frl.2016.05.013] | |
| dc.identifier.issn | 1544-6123 | |
| dc.identifier.issn | 1544-6131 (Online) | |
| dc.identifier.uri | http://hdl.handle.net/10394/23255 | |
| dc.identifier.uri | https://doi.org/10.1016/j.frl.2016.05.013 | |
| dc.identifier.uri | http://www.sciencedirect.com/science/article/pii/S1544612316300988?via%3Dihub | |
| dc.language.iso | en | |
| dc.publisher | Elsevier | |
| dc.subject | Interest rate | |
| dc.subject | LIBOR | |
| dc.subject | Caps | |
| dc.subject | Floors | |
| dc.subject | Bid-ask prices | |
| dc.subject | Wang transform | |
| dc.title | Estimation of bid-ask prices for options on LIBOR based instruments | |
| dc.type | Article |