Prices of Caps and Swaptions under Multi-Factor LIBOR Market Models
碩士 === 國立中央大學 === 財務金融研究所 === 93 === In this paper, we find that for caps, when we assume volatilities are time-homogeneous or flat, 3-factor model is better than 1- and 2-factor model. For swaptions, no matter how many years expiration is, if the tenor is shorter (2 or 3 year), the pricing performa...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/28870951939546801818 |