On jumps in the interest rate
碩士 === 國立清華大學 === 統計學研究所 === 94 === Jump-diffusion models have been suggested to fit most interest rate processes. The aim of this thesis is to propose a procedure for forecasting the interest rate and pricing the options based on it. This procedure, considering of detecting possible jumps and relat...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/90689502878301705379 |