| dc.contributor | 財管系 | |
| dc.creator (作者) | 謝沛霖 | |
| dc.creator (作者) | Hsieh, Pei-Lin;Chen, Ren-Raw;Huang, Jeffrey;Huang, Joe | |
| dc.date (日期) | 2019-12 | |
| dc.date.accessioned | 2024-09-11 | - |
| dc.date.available | 2024-09-11 | - |
| dc.date.issued (上傳時間) | 2024-09-11 | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/153746 | - |
| dc.description.abstract (摘要) | In this article, the authors provide a unified valuation framework under which a multicurve economy can be established and caps/floors and swaptions can be consistently priced. Furthermore, if a lognormal distribution is employed for the forward price (or 1 plus forward rate), then a “model-free” volatility calibration can be achieved, and all swaptions and caps/floors are perfectly repriced. | |
| dc.format.extent | 104 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | The Journal of Fixed Income, Vol.28, No.3, pp.68-87 | |
| dc.title (題名) | A Resolution to Valuation Conflicts of Swaptions/Caps and OIS/LIBOR | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.3905/jfi.2018.28.3.068 | |
| dc.doi.uri (DOI) | http://doi.org/10.3905/jfi.2018.28.3.068 | |
