interest rate barrier options pricing
碩士 === 國立臺灣大學 === 財務金融學研究所 === 93 === Cheuk and Vorst’s method [1996a] can be applied to price barrier options using one-factor interest rate models when recombining trees are available. For the Hull-White model, barriers on bonds or swap rates are transformed to time-dependent barriers on the short...
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| Format: | Others |
| Language: | en_US |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/22458368457470890001 |