Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/119724
題名: 零息可贖回債券商品定價 : 三元樹與最小平方蒙地卡羅方法之比較
Pricing Zero Callable Bonds:the Comparison between Trinomial Tree and the Least-Squares Monte-Carlo Method
作者: 林姸如
Lin, Yen-Ju
貢獻者: 林士貴<br>莊明哲
Lin, Shih-Kuei<br>Chuang, Ming-Che
林姸如
Lin, Yen-Ju
關鍵詞: 零息可贖回債券
最小平方蒙地卡羅法
三元樹
Hull and white model
Zero callable bonds
Least-Squares Monte-Carlo pricing method
Trinomial tree
Hull and white model
日期: 2018
上傳時間: 29-Aug-2018
摘要: 為了提供債券交易實務之需求,一方面,給予債券交易者債券之公平價格作為與對手交易之參考;二方面,滿足2018年正式適用於台灣的會計準則IFRS 9之要求,其對於金融資產公允價格之需求。因此,本篇論文參考Longstaff and Schwartz(2001)所提出的最小平方蒙地卡羅法(Least-Squares Monte-Carlo Pricing Method)、Cox, Ross and Rubinstein (1979)提出的二元樹模型(Binomial Model)和 Hull and White(1994a)提出的Hull and White(1990) model下之利率三元樹展開方法,所建置的最小平方蒙地卡羅法與三元樹兩種零息可贖回債券評價方法。而於實證分析的部分,除了將估計結果進行敏感度分析外,更進一步與台灣證券櫃檯買賣中心所公告的美元計價零息可贖回債券的理論價作比較,比較結果,最小平方蒙地卡羅法與其之估計差小於2%,而三元樹法與其之估計差則小於4%,而就模型比較之角度,最小平方蒙地卡羅法在評價外幣計價的零息可贖回債券的延伸性與擴充性較佳,且更貼近台灣的會計實務需求。
For the bonds’ traders, they don’t have the reasonable right price to refer when they want to make a deal with their counterparts. Also to provide fair price of the company’s holding financial assets to let them follow the accounting criterions in IFRS 9 . So to fulfill all the requirements, this thesis builds two pricing models of zero callable bonds, according to three references, including the way called Least-Squares Monte-Carlo Pricing Method which is published by Longstaff and Schwartz(2001), the Binomial Model which is published by Cox, Ross and Rubinstein (1979), and the construction method of trinomial tree which is published by Hull and White(1994a). And in empirical analysis, I not only discuss about the sensitivity of some parameters, but also compare the gap between the results that get from different methods and add the theoretical price that is offered on the website of Taipei Exchange to be the other comparison. In conclusion, the gaps between Least-Squares Monte-Carlo Pricing Method and the theoretical price are smaller than 2%. And the gaps between the second method and theoretical price are smaller than 4%. But in the aspect of the expandability of pricing method, the Least-Squares Monte-Carlo pricing method that I derived will be more flexible model for pricing the zero callable bonds.
參考文獻: 中文文獻\r\n[1]陳文琦(2016)。可贖回零息債券之評價與風險分析。未出版之碩士論文,東吳大學,財務工程與精算數學系,台灣台北市。\r\n[2]陳子謙、黎致平(2017)。以LSM評價國外可贖回零息債券(ZCB)。貨幣觀測與信用評等,第126期,第68~78頁。\r\n[3]蘇立人(2017)。美元零息可贖回債券在Hull-White Model下之評價模型。未出版之碩士論文,國立交通大學,財務金融研究所,台灣新竹市。\r\n英文文獻\r\n[1]Cox, J.C., S.A. Ross, and M. Rubinstein (1979), Option Pricing:A Simplified Approach, Journal of Financial Economics, Vol. 7, 229-263.\r\n[2]Chamber, D. R. and Q. Lu, (2007), A Tree Model for Pricing Convertible Bonds with Equity, Interest Rate, and Default Risk, Journal of Derivatives, Vol. 14, 25-46.\r\n[3]Hull, J. and A. White,(1990), Pricing Interest-Rate Derivatives Securities, Review of Financial Studies, Vol. 3, 573-592.\r\n[4]Hull, J. and A. White,(1994a), Numerical Procedures for Implementing Term Structure Models I:Single-Factor Models, Journal of Derivatives, Vol. 2, 7-15.\r\n[5]Hull, J. and A. White,(1994b), Numerical Procedures for Implementing Term Structure Models Ⅱ:Two-Factor Models, Journal of Derivatives, Vol. 2, 37-48.\r\n[6]Hua, D., .C. Chou, and D. Wang,(2009), A Defaultable Callable Bond Pricing Model, Investment Management and Financial Innovations, Vol. 6, 54-62.\r\n[7]Jarrowa, R., H. Li , S. Liu, and C. Wu,(2006), Reduced-Form Valuation of Callable Corporate Bonds:Theory and Evidence, Kamakura Corporation.\r\n[8]Jiang, X,(2011), Pricing Callable Bonds, Uppsala University.\r\n[9]Longstaff, F.A. and E.S. Schwartz,(2001), Valuing American Options by Simulation: A Simple Least-Squares Approach, Review of Financial Studies, Vol. 14, 113-147.\r\n[10]Merton, R.C.,(1974), On The Pricing of Corporate Debt:The Risk Structure of Interest Rates, Journal of Finance, Vol. 29, 449-470.\r\n[11]Milanov, K., O. Kounchev, F. J. Fabozzi, Y. S. Kim, and S. T. Rachev,(2013), A Binomial-Tree Model for Convertible Bond Pricing, Journal of Fixed Income, Vol. 22, 79-94.\r\n[12]Sun, Y.,(2015), An Optimized Least Squares Monte Carlo Approach to Calculate Credit Exposures for Asian and Barrier Options, University of Waterloo.\r\n[13]Vasicek, O.,(1977), An Equilibrium Characterization of the Term Structure, Journal of Financial Economics, Vol. 5, 177-188.
描述: 碩士
國立政治大學
金融學系
105352007
資料來源: http://thesis.lib.nccu.edu.tw/record/#G0105352007
資料類型: thesis
Appears in Collections:學位論文

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