Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model

Marc Henrard ()

Finance from University Library of Munich, Germany

Abstract: Two types of financial instruments including (overnight) compounding are studied in this note. The first one is overnight compounded instruments in the case where the settlement is delayed with respect to the end of the compounding period (floating leg of the OIS). The second is options on the composition. In both cases we study both continuous and discrete composition. We provide explicit formulas within the HJM one-factor models with deterministic volatility together with hedging strategies.

Keywords: Overnight indexed swaps; option on OIS; Asian option; compounded average; explicit formula; HJM model; one factor model; hedging (search for similar items in EconPapers)
JEL-codes: E43 G13 (search for similar items in EconPapers)
Date: 2004-02-09
New Economics Papers: this item is included in nep-cfn, nep-fin and nep-rmg
Note: Type of Document - LaTeX; prepared on Linux; to print on ??;
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0402008

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