Pricing and Risk Mangement of Foreign Currency Derivative on Stochastic Interest Rate and Volatility Model：The Case Study on Chunghwa Telecom Co.
碩士 === 國立臺灣科技大學 === 財務金融研究所 === 103 === The paper develops a stochastic interest rate and volatility model. The short rates follow CIR model and the volatility of exchange rate follow Heston model. Discuss the pricing and the risk value of foreign currency derivative on the stochastic model. With th...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/q3yd3f |