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: | Chao, Tzu-Hsien, 趙子賢 |
---|---|
Other Authors: | 廖四郎 |
Format: | Others |
Language: | en_US |
Published: |
2005
|
Online Access: | http://ndltd.ncl.edu.tw/handle/88041380636389746401 |
Similar Items
-
Pricing and Empirical Analysis of Callable Range Accrual Linked to CMS: Comparison of LIBOR and GARCH Market Models
by: Feng, Kuan-Chun, et al.
Published: (2018) -
The Valuation and Analysis of Callable Bond
by: CHANG, LI-YEN, et al.
Published: (2018) -
Pricing Callable Bonds
by: Xue, Jiang
Published: (2011) -
Pricing of Callable Defaultable Bonds
by: Chung-Chih Yang, et al.
Published: (2004) -
UNA METODOLOGÍA PARA VALORAR UN CALLABLE BOND A METHODOLOGY TO VALUE A CALLABLE BOND
by: Carlos Alexander Grajales, et al.
Published: (2008-12-01)