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在跳躍擴散過程下評價利率期貨選擇權 / Pricing Interest Rate Futures Options under Jump-Diffusion Process

The jump phenomenons of many financial assets prices have been observed in many empirical papers. In this paper we extend the Heath-Jarrow-Morton model to include the jump component to derive the European-style pricing formula of the interest rate futures options. We use numerical method to simulate the options prices and analyze how each component of HJM model under jump-diffusion processes affects the interest rate futures options. Finally, we utilize LSM method which are presented by Longstaff and Schwartz to derive American options prices and compare it with European options.

Identiferoai:union.ndltd.org:CHENGCHI/G0091351003
Creators廖志展, Liao, Chih-Chan
Publisher國立政治大學
Source SetsNational Chengchi University Libraries
Language中文
Detected LanguageEnglish
Typetext
RightsCopyright © nccu library on behalf of the copyright holders

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