dc.contributor.advisor | 陳威光<br>江彌修 | zh_TW |
dc.contributor.advisor | <br> | en_US |
dc.contributor.author (Authors) | 謝震洋 | zh_TW |
dc.creator (作者) | 謝震洋 | zh_TW |
dc.date (日期) | 2003 | en_US |
dc.date.accessioned | 14-Sep-2009 09:27:05 (UTC+8) | - |
dc.date.available | 14-Sep-2009 09:27:05 (UTC+8) | - |
dc.date.issued (上傳時間) | 14-Sep-2009 09:27:05 (UTC+8) | - |
dc.identifier (Other Identifiers) | G0091352018 | en_US |
dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/31159 | - |
dc.description (描述) | 碩士 | zh_TW |
dc.description (描述) | 國立政治大學 | zh_TW |
dc.description (描述) | 金融研究所 | zh_TW |
dc.description (描述) | 91352018 | zh_TW |
dc.description (描述) | 92 | zh_TW |
dc.description.abstract (摘要) | 爲規避利率上升風險,市場上有很多避險工具,諸如遠期利率協定、利率交換、我國期交所於2004年1月2日所推出的債券期貨(或稱利率期貨)、歐元期貨契約。本論文所要探討的是平均利率上限選擇權之評價,使用的方法是建構Forward LIBOR Tree之利率樹,再使用Timothy. R. Klassen(2001)評價亞式選擇權的方法來評價平均利率上限選擇權。 | zh_TW |
dc.description.tableofcontents | 第壹章 序論 第一節 研究動機 第二節、研究目的 第三節、研究架構 第四節、 利率上限選擇權及平均利率上限選擇權 第貳章 文獻回顧 第一節、Hedging Interest Rate Risk with Options on Average Interest Rates 第二節、Average Interest Rate Caps 第三節、平均利率上限契約之評價與應用 第參章 研究方法 第一節、Forward LIBOR Tree 第二節、評價平均利率上限選擇權 第肆章□顳獢B參數分析 第一節、模型波動度 第二節、選擇權價格分析 第伍章 結論及續後研究建議 參考文獻 | zh_TW |
dc.language.iso | en_US | - |
dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0091352018 | en_US |
dc.subject (關鍵詞) | 平均利率上限選擇權 | zh_TW |
dc.subject (關鍵詞) | 亞式選擇權 | zh_TW |
dc.subject (關鍵詞) | 市場模型 | zh_TW |
dc.subject (關鍵詞) | 二元樹 | zh_TW |
dc.subject (關鍵詞) | Average rate Cap | en_US |
dc.subject (關鍵詞) | Asian Option | en_US |
dc.subject (關鍵詞) | LIBOR Market Model | en_US |
dc.subject (關鍵詞) | Binomial Tree | en_US |
dc.title (題名) | 平均利率上限選擇權之評價-LIBOR Market Model | zh_TW |
dc.type (資料類型) | thesis | en |
dc.relation.reference (參考文獻) | 1.陳威光 “選擇權理論實務與應用” | zh_TW |
dc.relation.reference (參考文獻) | 2.陳松男 “金融工程學:金融商品創新選擇權理論” | zh_TW |
dc.relation.reference (參考文獻) | 3.楊振海(2000) “平均利率上限契約之評價與應用” | zh_TW |
dc.relation.reference (參考文獻) | 4.陳兆維(2001)”利率波動結構對標準與平均利率上限契約評價的影響” | zh_TW |
dc.relation.reference (參考文獻) | 5.方姿云(2002)” 市場模型於歐洲美元期貨選擇權之評價” | zh_TW |
dc.relation.reference (參考文獻) | 6.Brace,A.,Gatarek,D.,Musiela,M.(1997) “The market model of interst rate dy- | zh_TW |
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dc.relation.reference (參考文獻) | Stochastics | zh_TW |
dc.relation.reference (參考文獻) | 9.Longstaff, F.A. (1995), “Hedging Interest Rate Risk with Options on Average Interest Rates”, Journal of Fixed Income(March), P.37-45. | zh_TW |
dc.relation.reference (參考文獻) | 10.Ricardo Rebonato “Modern Pricing of Interest-Rate Derivatives-THE LIBOR MARKET MODEL AND BEYOND” | zh_TW |
dc.relation.reference (參考文獻) | 11.Tadashi Uratani and Makoto Utsunomiya “Lattice calculation for forward LIBOR model” 1998 | zh_TW |
dc.relation.reference (參考文獻) | 12. Timothy. R. Klassen(2001) “Simple,fast,and flexible pricing of Asian options”,Journal of Computational Finance | zh_TW |
dc.relation.reference (參考文獻) | 13.Vasicek, T.(1977), “An Equilibrium Characterization of the Term Structure”, Journal of Financial Economics, P.179-193. | zh_TW |
dc.relation.reference (參考文獻) | 14.Vorst, T.(1992), “Prices and Hedge Ratios of Average Exchange Rate Options”, International Review of Financial Analysis, P.179-193. | zh_TW |