Using the LIBOR Market Model to Price the Interest Rate Derivatives：A Recombining Binomial Tree Methodology
碩士 === 國立交通大學 === 財務金融研究所 === 97 === Pricing interest derivatives with the LIBOR market model (LMM) is hard due to the non-Markov nature of LMM. My thesis follows Ho (2008) to build recombined interest trees with HSS (1995) method. The correlation between two forward rates is modeled by the construc...
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/f99tz7 |