Pricing Security Derivatives under the Forward Measure

Publication Year:
2007
Usage 1
Abstract Views 1
Repository URL:
https://digitalcommons.wpi.edu/etd-theses/1197
Author(s):
Twarog, Marek B
Publisher(s):
Worcester Polytechnic Institute
Tags:
security; derivatives; forward; measure; binomial tree; Derivative securities; Interest rates; Mathematical models
artifact description
"This project is an investigation and implementation of pricing derivative securities using the forward measure. It will explain the methodology of building a modified discrete Ho-Lee interest rate model to do so, along with the extraction of historical yield and interest rates to calibrate the model. "