政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/78214
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/78214


    Title: Analytical Valuation of Barrier Interest Rate Options Under Market Models
    Authors: Wu, Ting-Pin;Chen, Son-Nan
    陳松男
    Contributors: 金融系
    Date: 2009
    Issue Date: 2015-09-02 17:07:03 (UTC+8)
    Abstract: Barrier caps, floors, and swaptions are priced in a closed form via the time-changed technique under the market models. The parameters of the resulting formulas can be easily extracted from market data. This makes the pricing formulas more easily implemented in practice. In addition, the monitoring of the barrier crossing is based on the observable forward LIBOR and swap rates, which helps hedging operations.
    Relation: Journal of Derivatives, 17(1), 21-37
    Data Type: article
    DOI link: http://dx.doi.org/10.3905/JOD.2009.17.1.021
    DOI: 10.3905/JOD.2009.17.1.021
    Appears in Collections:[Department of Money and Banking] Periodical Articles

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