Pricing and Hedging Volatility Smile with LIBOR Market Model
碩士 === 朝陽科技大學 === 財務金融系碩士班 === 95 === This study tests Libor Market Model (Brace, Gatarek, and Musiela, 1997) in pricing and hedging Euribor options over the period 1 January 2003-31 December 2003. Amin and Morton (2004), Zeto (2002), and Kuo and Paxson (2006) documented the existence of moneyness b...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/41715697604382142188 |