Valuation, Hedge and Analysis of Inflation-Protected and Principal-Protected Notes with Path Dependence in Jump Diffusion Model
碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 96 === Recently, high oil price becomes a concern. It is important for investors to protect their real profits from inflation risk. This paper expands the Brennan and Schwartz ( 1976 ) model and the Chen ( 2007 ) model, to present an inflation-protected and princi...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/848wgx |