Callable LIBOR Exotics Valuation in Lognormal Forward LIBOR Model, Cases of Callable Inverse Floater, Callable Cumulative Inverse Floater, and Callable Daily Range Accrual Note
碩士 === 國立政治大學 === 金融研究所 === 94 === The market of the structured notes has been blossoming. The lognormal forward LIBOR model is more suitable for the valuation of structured notes than do the traditional interest rate models. In this article, we perform three case studies of the valuation of the str...
| 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/88041380636389746401 |