Valuation of American Options onCap and Floor with Stochastic Volatility
碩士 === 東吳大學 === 財務工程與精算數學系 === 103 === Interest rate bound options (including interest rate caps and floors) are important derivatives instruments for hedging interest rate risks. Traditionally, Black (1976) model was used for pricing interest rate derivatives. However, the constant volatility assum...
| 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/92266033830182081667 |