Pricing Interest Rate Derivatives in HJM Model by Monte Carlo Method
碩士 === 國立中央大學 === 財務金融研究所 === 92 === Heath, Jarrow and Morton (hereafter HJM) model is a very general interest rate model, their only required inputs are the initial yield curve and the volatility structure for pure discount bond (PDB) price return. Here we provide the interest rate caps pricing mod...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/72556723094879159057 |