UsingtheLIBORMarketModeltoPrice-戴天时-国立交通大学.DOCVIP

PAGE PAGE 16 Using the LIBOR Market Model to Price the Interest Rate Derivatives： A Recombining Binomial Tree Methodology 以LMM利率模型評價利率衍生性商品：結合節點二項樹方法 1 (Correspondence Author) Tian-Shyr Dai, 戴天時, National Chiao Tung University, Graduate Institute of Finance, Assistant Professor.(新竹市大學路1001號 國立交通大學財務金融研究所，03-5712121#57054， HYPERLINK mailto:cameldai@mail.nctu.edu.tw cameldai@mail.nctu.edu.tw ) The author was supported in part by NSC grant 96-2416-H-009-025-MY2 and NCTU The author was supported in part by NSC grant 96-2416-H-009-025-MY2 and NCTU research grant for financial engineering and r