Reference: | 1.陳威光 “選擇權理論實務與應用” 2.陳松男 “金融工程學:金融商品創新選擇權理論” 3.楊振海(2000) “平均利率上限契約之評價與應用” 4.陳兆維(2001)”利率波動結構對標準與平均利率上限契約評價的影響” 5.方姿云(2002)” 市場模型於歐洲美元期貨選擇權之評價” 6.Brace,A.,Gatarek,D.,Musiela,M.(1997) “The market model of interst rate dy- namics.”, Math.Finance 7,127-154. 7.Hull , J., and A. White.(1993) “Efficient Procedures for Valuing European and American Path-Dependent Derivatives.” Journal of Derivatives 8.Jamshidian,F.(1997) “Libor and swap market models and measures.”, Finance Stochastics 9.Longstaff, F.A. (1995), “Hedging Interest Rate Risk with Options on Average Interest Rates”, Journal of Fixed Income(March), P.37-45. 10.Ricardo Rebonato “Modern Pricing of Interest-Rate Derivatives-THE LIBOR MARKET MODEL AND BEYOND” 11.Tadashi Uratani and Makoto Utsunomiya “Lattice calculation for forward LIBOR model” 1998 12. Timothy. R. Klassen(2001) “Simple,fast,and flexible pricing of Asian options”,Journal of Computational Finance 13.Vasicek, T.(1977), “An Equilibrium Characterization of the Term Structure”, Journal of Financial Economics, P.179-193. 14.Vorst, T.(1992), “Prices and Hedge Ratios of Average Exchange Rate Options”, International Review of Financial Analysis, P.179-193. |