Multifactor Market Models for Pricing EURIBOR Futures Options
碩士 === 國立中興大學 === 財務金融系所 === 97 === This paper evaluates implied volatility functions in four one-factor, six two-factor, and four three-factor market models, with the use of EURIBOR futures options from January, 2003. The inferred volatility parameters are used to examine in-sample- fitting perform...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/47215528588290476286 |