An Empirical Study of the Chen-Hsieh-Huang Model

The market of Swaptions is the largest option market in the financial world. The market is liquid and serves as a benchmark for other exotic interest rate derivatives. As a result, a fast valuation algorithm is essential to the valuation of swaptions. In a recent article, <xref>Chen, Hsieh, and Huang (2017)</xref> derive a closed-form solution to the at-the-month swaptions by assuming a deterministic log-normal volatility process.