| dc.contributor | 金融系 | |
| dc.creator (作者) | Wu, Ting-Pin;Chen, Son-Nan | |
| dc.creator (作者) | 陳松男 | zh_TW |
| dc.date (日期) | 2009 | |
| dc.date.accessioned | 2-Sep-2015 17:07:03 (UTC+8) | - |
| dc.date.available | 2-Sep-2015 17:07:03 (UTC+8) | - |
| dc.date.issued (上傳時間) | 2-Sep-2015 17:07:03 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/78214 | - |
| dc.description.abstract (摘要) | Barrier caps, floors, and swaptions are priced in a closed form via the time-changed technique under the market models. The parameters of the resulting formulas can be easily extracted from market data. This makes the pricing formulas more easily implemented in practice. In addition, the monitoring of the barrier crossing is based on the observable forward LIBOR and swap rates, which helps hedging operations. | |
| dc.format.extent | 5559071 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Journal of Derivatives, 17(1), 21-37 | |
| dc.title (題名) | Analytical Valuation of Barrier Interest Rate Options Under Market Models | |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.3905/JOD.2009.17.1.021 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.3905/JOD.2009.17.1.021 | en_US |
