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題名:Valuation of Asian Interest Rate Options within the BGM Model
書刊名:財務金融學刊
作者:吳庭斌 引用關係傅瑞彬 引用關係陳松男
作者(外文):Wu, Ting-pinFu, Jui-pinChen, Son-nan
出版日期:2010
卷期:18:4
頁次:頁1-35
主題關鍵詞:亞式利率選擇權BGM模型平賭過程評價方法Asian interest rate optionsBGM modelMartingale pricing method
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:34
期刊論文
1.Miltersen, Kristian R.、Sandmann, Klaus、Sondermann, Dieter(1997)。Closed Form Solutions for Term Structure Derivatives with Log-normal Interest Rates。The Journal of Finance,52(1),409-430。  new window
2.Cheuk, Terry H. F.、Vorst, Ton, C. F.(1999)。Average Interest Rate Caps。Computational Economics,14(3),183-196。  new window
3.Brace, Alan、Gatarek, Dariusz、Musiela, Marek(1997)。The Market Model of Interest Rate Dynamics。Mathematical Finance,7(2),127-155。  new window
4.Rebonato, R.(1999)。On the Simultaneous Calibration of Multifactor Lognormal Interest Rate Models to Black Volatilities and to the Correlation Matrix。The Journal of Computational Finance,2(4),5-27。  new window
5.Schlogl, E.(2002)。A Multicurrency Extension of the Lognormal Interest Rate Market Models。Finance and Stochastics,6(2),173-188。  new window
6.Vorst, T.(1992)。Prices and Hedge Ratios of Average Exchange Rate Options。International Review of Financial Analysis,1(3),179-193。  new window
7.Kemna, Angelien G. Z.、Vorst, Antonius C. F.(1990)。A pricing method for options based on average asset values。Journal of Banking and Finance,14(1),113-129。  new window
8.Black, Fischer(1976)。The Pricing of Commodity Contracts。Journal of Financial Economics,3(1/2),167-179。  new window
9.Hull, John、White, Alan(1990)。Pricing Interest-Rate-Derivative Securities。Review of Financial Studies,3(4),573-592。  new window
10.Heath, David C.、Jarrow, Robert A.、Morton, Andrew J.(1992)。Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation。Econometrica,60(1),77-105。  new window
11.Levy, Edmond(1992)。Pricing European Average Rate Currency Options。Journal of International Money and Finance,11(5),474-491。  new window
12.Turnbull, Stuart M.、Wakeman, Lee MacDonald(1991)。A quick algorithm for pricing European average options。The Journal of Financial and Quantitative Analysis,26(3),377-389。  new window
13.Vasicek, Oldrich Alfonso(1977)。An Equilibrium Characterization of the Term Structure。Journal of Financial Economics,5(2),177-188。  new window
14.Longstaff, F. A.,(1995)。Hedging interest rate risk with options on average interest rates。Journal of Fixed Income,March,37-45。  new window
15.Musiela, M., and M. Rutkowski,(1997)。Continuous-time term structure model: forward measure approach。Finance and Stochastics,4,261-292。  new window
16.Rogers, C.,(1996)。Gaussian Errors。Risk,9,42-45。  new window
圖書
1.Brigo, D.、Mercurio, F.(2001)。Interest Rate Models: Theory and Practice。Heidelberg:Springer Verlag。  new window
 
 
 
 
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