Simulating European interest rate Call option under one-factor and two-factor RS model
碩士 === 東海大學 === 財務金融學系 === 98 === This article uses Ritchken & Sankarasubramanian model(RS model；1995) which has state variables； the model like this has Markov process characteristic and the zero coupon bond price derived from RS model also owns the same state variables. It will makes the simul...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/16246059691171879151 |