Using Recombining Binomial Trees To Implement LIBOR Market Models
碩士 === 國立臺灣大學 === 資訊工程學研究所 === 95 === The thesis is concerned with the implementation of the LIBOR market model, using the Ho, Stapleton and Subrahmanyam(1995) model, a recombining tree model. The recombining tree model provides a fast and accurate approach for the valuation of path{ dependent inter...
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| Format: | Others |
| Language: | en_US |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/19590344475865782047 |
| Summary: | 碩士 === 國立臺灣大學 === 資訊工程學研究所 === 95 === The thesis is concerned with the implementation of the LIBOR market model, using the Ho, Stapleton and Subrahmanyam(1995) model, a recombining tree model. The recombining tree model provides a fast and accurate approach for the valuation of path{ dependent interest rate derivatives.
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