A Comparison of Option Pricing Between Two No-Arbitrage Models
碩士 === 朝陽科技大學 === 財務金融系碩士班 === 90 === The drawbacks of Ho-Lee model are that interest rate may become negative and the volatility of the short rate is constant. Salmon Brothers model replaces the normal distribution with the lognormal distribution and, as such, interest rate generates by this model...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/95043284615580820390 |