期刊名称：Federal Reserve Bank of New York - Quarterly Review
印刷版ISSN：0147-6580
出版年度：1993
卷号：18
期号：1
出版社：Federal Reserve Bank of New York
摘要：Index amortizing rate (IAR) swaps have proved difficult to price because of the complexity of their embedded options. Since these options depend on the path of interest rates, pricing requires a model of interest rate movements. This article uses a simple interest rate model to illustrate the pricing and hedging of an IAR swap
