| Reference: | 英文部分：
[1] Brace, A., D. Gatarek and M. Musiela (1997). The Market Model of Interest Rate . Dynamics Mathematical Finance 7, 127-155.
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[3] Damiano Brigo and Mercurio, Interest Rate Models Theory and Pratice.
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[6] Hull, J., White, A.(1990a), Valuing Derivative Securities Using the Explicit Finite Difference Method, Journal of Financial and Quantitative Analysis 25, 87-100.
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[8] Jamshidian, F. (1997). LIBOR and Swap Market Models and Measures . Finance and Stochastics 1, 293-330.
[9] Longstaff, F. and E. Schwartz (2001), Valuing American Option by Simulation: A Simple Least-Squares Approach. The Review of Financial Studies, Vol. 14, No.1, 113-147.
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中文部分：
[1] 陳松男(2006)，利率金融工程學，新陸書局。
[2] 陳妙津(2006)，利用最小平方蒙地卡羅法評價百慕達式利率交換選擇權，政治大學，碩士論文。
[3] 曹若玹(2006)，可贖回雪球式商品的評價與避險，政治大學，碩士論文。
[4] 蔡宗儒(2006)，LIBOR新奇選擇權之評價—以最小平方蒙地卡羅法為例，政治大學，碩士論文。 |
