市場模型下利率連動債券評價 — 以逆浮動、雪球型、及每日區間型為例
國內結構債市場業已蓬勃發展，市場模型亦相當適合結構債評價。本文在市場模型下，因市場模型不具馬可夫性質，運用最小平方蒙地卡羅法針對三連結標的為LIBOR的結構債進行評價。 === The market of the structured notes has been blossoming. The lognormal forward LIBOR model is more suitable for the valuation of structured notes than do the traditional interest rate models. In this article, we...
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| Language: | 英文 |
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國立政治大學
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| Online Access: | http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0923520101%22. |