The Study of Stochastic Local Volatility Model of Target Redemption Forward
碩士 === 東吳大學 === 財務工程與精算數學系 === 104 === This article refers to Ren et al. (2007) the stochastic local volatility model to describe the dynamic model of the foreign exchange. We used foreign exchange option implied volatility from market data with loss function approach to calibration parameter of sto...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/uqrkcb |