The Performance of Implied Volatility Functions for Pricing Interest Rate Swaptions under the HJM Framework
碩士 === 東海大學 === 財務金融學系 === 97 === This study evaluates four one-factor implied volatility functions in the HJM class, with the use of swaps and at-the-money European swap options. The aim of this study is to observe the difference between these four models in in-sample pricing errors and out-of-samp...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/89633182178584793845 |