Using Density Approximation Method to Price the Interest Rate Relative Derivative on General Heath-Jarrow-Morton Model
碩士 === 國立臺灣大學 === 財務金融學研究所 === 100 === The new term structure model is provided in this paper. This model extends the model provided by Trolle and Schwartz (2009) so that the new model can explain the influence of spot rate on forward rate diffusion term. The advantages of this model are that it ens...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/24899938527634728532 |