PRICING DYNAMIC GUARANTEED FUND WITH JUMP RISK AND INTEREST RATE RISK
碩士 === 國立中央大學 === 財務金融學系 === 104 === In this thesis we discuss how the interest rate risk and jump diffusion risk effect the value of dynamic guaranteed fund. We assume the dynamic underlying of the guaranteed fund follows a double exponential jump process and stochastic interest rate process follow...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/68828881019884098677 |