Please use this identifier to cite or link to this item:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/29909| Title: | 利用再結合二元樹去實作LIBOR市場模型 Using Recombining Binomial Trees To Implement LIBOR Market Models |
| Authors: | Yu-Chun Wang 王禹鈞 |
| Advisor: | 呂育道 |
| Keyword: | LIBOR市場模型,BGM,HSS,再結合二元樹,利率上限選擇權, LIBOR market model (LMM),BGM,HSS,recombining tree,caplet, |
| Publication Year : | 2007 |
| Degree: | 碩士 |
| Abstract: | 這篇論文是在描述利用Ho, Stapleton and Subrahmanyam在1995年提出的再結合二元樹模型，去實作LIBOR市場模型。再結合的二元樹模型提供了一個快速而且精確的方法去評價一些利率衍生性金融商品，甚至是路徑相依的商品。 The thesis is concerned with the implementation of the LIBOR market model, using the Ho, Stapleton and Subrahmanyam(1995) model, a recombining tree model. The recombining tree model provides a fast and accurate approach for the valuation of path{ dependent interest rate derivatives. |
| URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/29909 |
| Fulltext Rights: | 有償授權 |
| Appears in Collections: | 資訊工程學系 |
Files in This Item:
| File | Size | Format | |
|---|---|---|---|
| ntu-96-1.pdf Restricted Access | 412.93 kB | Adobe PDF |
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