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    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62042

    Title: Pricing Interest Rate Related Instruments
    Authors: Soad Abuhawas;Jeffrey Burnett;Oliver D´iaz;Chuan Hsiang Han;Mahendra Panagoda;Yi Zhao
    教師: 韓傳祥
    Date: 2001
    Publisher: North Carolina State University
    Relation: Center for Research in Science Computation, Industrial Mathematics Modeling Workshop for Graduate Students,North Carolina State University, July 23 - July 31, 2001
    Keywords: Interest Rate
    Black-Derman-Toy model
    Abstract: This paper is concerned with implementing a method for pricing interest rate related derivatives. We first show a method for estimating the term structure of interest rates from market data and then show how this term structure is used to calibrate the Black-Derman-Toy model, a binomial model for the evolution of the short rate. An alogrithm for constructing the model is given and prices for several interest rate derivatives are then calculated using the Arrow-Debreu pricing scheme. Lastly, a framework for pricing coumpound options is explored.
    URI: http://www.ncsu.edu/crsc/reports/ftp/pdf/crsc-tr01-27.pdf
    Appears in Collections:[計量財務金融學系] 會議論文

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