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TitleAnalytical Valuation of Barrier Interest Rate Options Under Market Models
CreatorWu, Ting-Pin;Chen, Son-Nan
陳松男
Contributor金融系
Date2009
Date Issued2-Sep-2015 17:07:03 (UTC+8)
SummaryBarrier 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.
RelationJournal of Derivatives, 17(1), 21-37
Typearticle
DOI http://dx.doi.org/10.3905/JOD.2009.17.1.021
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) articleen
dc.identifier.doi (DOI) 10.3905/JOD.2009.17.1.021en_US
dc.doi.uri (DOI) http://dx.doi.org/10.3905/JOD.2009.17.1.021en_US