Valuation of Quanto Options on Defaultable Swap Rates
博士 === 國立政治大學 === 金融研究所 === 103 === This study prices quanto options on defaultable swap rates (QODSR) in which domestic and foreign defaultable swap rates are considered in the LIBOR market model. We use two fixed ratios to price the QODSR with the default and strike rate property. The forward defa...
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| Format: | Others |
| Language: | en_US |
| Online Access: | http://ndltd.ncl.edu.tw/handle/70866313975956872215 |