| dc.contributor | 財管系 | |
| dc.creator (作者) | 謝沛霖 | |
| dc.creator (作者) | Chen, Ren-Raw;Hsieh, Pei-Lin;Rodas, Bryan | |
| dc.date (日期) | 2025-08 | |
| dc.date.accessioned | 12-Mar-2026 14:53:59 (UTC+8) | - |
| dc.date.available | 12-Mar-2026 14:53:59 (UTC+8) | - |
| dc.date.issued (上傳時間) | 12-Mar-2026 14:53:59 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=181597 | - |
| dc.description.abstract (摘要) | The market of swaptions is the largest option market in the financial world. The market is liquid and serves as a benchmark for other exotic interest rate derivatives. As a result, a fast valuation algorithm is essential to the valuation of swaptions. In a recent article, Chen, Hsieh, and Huang (2017) derive a closed-form solution to the at-the-month swaptions by assuming a deterministic log-normal volatility process. | |
| dc.format.extent | 102 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Journal of Fixed Income, Vol.35, No.2, pp.63-86 | |
| dc.title (題名) | An Empirical Study of the Chen-Hsieh-Huang Model | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.3905/jfi.2025.1.215 | |
| dc.doi.uri (DOI) | https://doi.org/10.3905/jfi.2025.1.215 | |
