Pricing Security Derivatives under the Forward Measure

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Twarog, Marek B
Worcester Polytechnic Institute
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. "