Why Interest Rate Option Model Can Smile?
碩士 === 東海大學 === 財務金融學系 === 97 === Past literature explain the presence of volatility smile in interest rate options markets as the consequence of the violation of standard Brownian motion in Heath, Jarrow, and Morton model (HJM, 1992) and proposing alternative approaches to deal this violation is un...
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| Format: | Others |
| Language: | en_US |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/68909461565420131960 |