Consistence between Initial Curves and Interest Rate Models: An Empirical Study in Taiwan Market
碩士 === 國立清華大學 === 科技管理研究所 === 93 === This study investigates the importance of consistence with fitting curve techniques and arbitrage free interest rate model for pricing interest derivatives. We employ three different yield curve fitting methods which are exponential interpolation method, Nelson-S...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/34986214737050814278 |