Numerical Approach Pricing European Options on Bond in CIR Model
碩士 === 東海大學 === 數學系 === 93 === In this paper, we present how the CIR model guarantees interest rates against negative values in detail and what the prices of both discount bonds and European call options are when interest rates are assumed to follow the CIR model. In addition, we simulate European c...
| 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/11540973301599888252 |