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NTIS 바로가기한국시뮬레이션학회논문지 = Journal of the Korea Society for Simulation, v.28 no.3, 2019년, pp.49 - 56
In this paper, we deal with two pricing of bond options using the relationship between the forward rate model and the Libor rate model. First, we derive a formula for obtaining discounted bond prices using the restrictive condition of the Ritchken and Sankarasubramanian (RS), and then use the volati...
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