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重庆理工大学经济与贸易学院国际金融英文课件Chapter5 Interest Yields Interest-Rate Risk and Derivative Securities
重庆理工大学经济与贸易学院 国际金融 英文 课件 Chapter5 Interest Yields Interest-Rate Risk and Derivative Securities
2015/10/13
重庆理工大学经济与贸易学院国际金融英文课件Chapter5 Interest Yields Interest-Rate Risk and Derivative Securities。
The Early Exercise Boundary behavior at expiry for American style of derivative
The Early Exercise Boundary behavior American style derivative
2011/1/4
In this paper, we present a new method for calculating the limit of early exercise boundary at expiry. We price American style of general derivative using a formula expressed as a sum of the value of ...
Cumulant expansion is used to derive accurate closed-form approximation for Monthly Sum Options in case of constant volatility model. Payoff of Monthly Sum Option is based on sum of $N$ caped (and pro...
Nonparametric Pricing of Interest Rate Derivative Securities
Nonparametric Pricing Interest Rate Derivative Securities
2014/3/13
Nonparametric Pricing of Interest Rate Derivative Securities.