The Valuation of Swaptions with Stochastic Volatility
碩士 === 東吳大學 === 財務工程與精算數學系 === 103 === Interest rate swaptions are important and efficient tools for hedging interest rate risks in the financial market. Black (1976) model is traditionally applied by the practitioner for the valuations of interest rate derivatives. Yet, the constant volatility assu...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/93741837957251089010 |