Pricing Snowball Notes with Hull-White Model
碩士 === 國立交通大學 === 財務金融研究所 === 95 === In this paper, a novel polynomial-time pricing algorithm based on Hull-White term structure model is introduced for pricing snowball notes. Snowball notes are sophisticated inversing floating rate bonds with path-dependent coupons, freeze at zero and redemption a...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/96700930698983522909 |