Valuing Taiwanese Government Bond Futures with an Embedded Quality Option
碩士 === 國立中興大學 === 財務金融研究所 === 92 === T-bond futures contract has been listed on Taiwan Futures Exchange since January 2nd, 2004. This paper explains the valuing of the quality option embedded in the T-bond futures contract which any government bond with a maturity less than 11 years can be delivered...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/14384592919790528403 |