Simulating European interest rate Call option under one-factor and two-factor RS model
| Autor: | TSAI MING CHOU, 蔡明洲 |
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| Rok vydání: | 2010 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 98 This article uses Ritchken & Sankarasubramanian model(RS model；1995) which has state variables； the model like this has Markov process characteristic and the zero coupon bond price derived from RS model also owns the same state variables. It will makes the simulation efficient. In this article, we compare one factor RS model accuracy in simulating interest rate derivatives with two factor Inui & Kijima model(IK model；1998). Two models volatility are all the function of short rate；one factor RS model volatility is exponential dampened, and two factor IK model volatility are constant and exponential dampened. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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