Pricing Interest Rate Derivatives in Heath-Jarrow-Morton Model with Stochastic Volatility
碩士 === 臺灣大學 === 財務金融學研究所 === 98 === This article provides a flexible stochastic volatility multi-factor Heath–Jarrow–Morton term structure model, which allows forward rate correlative with its volatility, and there are N random factors affect the interest rate structure, while additional N random fa...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/40752446321555108810 |