The Research of Pricing Fixed Income Securities
碩士 === 淡江大學 === 財務金融學系 === 87 === In the research, we compare the pricing behaviors between the Cox, Ingersoll and Ross model and the Longstaff and Schwartz model. American interest rate swaps data and Treasury Strips data are used for empirical analysis. The model of Cox, Ingersoll and R...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
1999
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| Online Access: | http://ndltd.ncl.edu.tw/handle/77076463002541038511 |