The Application of Hull and White Interest Rate Model on Option Pricing－The Case of TAIEX Index Options
碩士 === 國立高雄第一科技大學 === 金融營運所 === 91 === This study loosens the constant interest rate assumption of the Black-Scholes’ option pricing model. We apply the Hull and White interest rate model as interest rate process on option pricing. By combining the Hull-White one factor interest rate model and CRR m...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2003
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/93981376495415966570 |