The Valuation of T-Bond Futures with the Quality Option
碩士 === 國立臺灣大學 === 財務金融學系 === 84 === This paper investigates the U.S. Bond futures with the quality option under the Vasicek (1977) model and the Chen (1995) model. There has been a rich body of literature discussing the valuation of qua...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
1996
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| Online Access: | http://ndltd.ncl.edu.tw/handle/78893304888179312154 |