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- 자료유형
- 학술대회자료
- 저자정보
- 발행연도
- 2005.5
- 수록면
- 137 - 138 (2page)
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In this paper we present two kinds of the stochastic interest rate option pricing model. One is a bond numeraie approach and another is an approach of Merton type (1973). The Merton's approach is the most general one to incorporate the stochastic interest rate with option pricing model, but the implied volatility can not be calcula ... 전체 초록 보기
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UCI(KEPA) : I410-ECN-0101-2009-410-014678290