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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/78214
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/78214

    Title: Analytical Valuation of Barrier Interest Rate Options Under Market Models
    Authors: Wu, Ting-Pin;Chen, Son-Nan
    Contributors: 金融系
    Date: 2009
    Issue Date: 2015-09-02 17:07:03 (UTC+8)
    Abstract: 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.
    Relation: Journal of Derivatives, 17(1), 21-37
    Data Type: article
    DOI 連結: http://dx.doi.org/10.3905/JOD.2009.17.1.021
    DOI: 10.3905/JOD.2009.17.1.021
    Appears in Collections:[金融學系] 期刊論文

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