Calibrating Interest Rate Models with Differential Tree Algorithms: the Case of Black-derman-toy Model
碩士 === 國立臺灣大學 === 資訊工程研究所 === 85 === Interest-rate-contingent claims such as caps, swaptins, bonds options, captions and mortgate-backed securities have become increasingly popular in recent year. The valuation of these instruents is now a major concern for both practitioners and academics. In...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
1997
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/30313833803306111620 |