Pricing of interest rate swap in Germany and United Kingdom
碩士 === 淡江大學 === 財務金融學系 === 87 === Longstaff and Schwartz (1992) develop a two-factor general equilibrium model of the term structure modeled by Cox, Ingersoll, and Ross (1985a). They make a simple change of variables that allows us to express contingent claim prices in terms of two intuit...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
1999
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| Online Access: | http://ndltd.ncl.edu.tw/handle/66209256513330515488 |