Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/32609


Title: 利用最小平方蒙地卡羅法評價百幕達式利率交換選擇權
Authors: 陳妙津
Contributors: 廖四郎
吳柏林

陳妙津
Keywords: 百慕達式利率交換選擇權
蒙地卡羅
Date: 2005
Issue Date: 2009-09-17 13:50:33 (UTC+8)
Abstract:   利率是金融市場一項非常重要的指標,其波動可說是直接地或間接地牽動整個金融市場的表現。劵商在承作各項金融商品買賣以及公司舉債時都不得不考慮利率波動可能造成的極大風險,於是在避險需求的帶動下,具有避險功能的利率衍生性商品種類愈來愈多,其結構也日趨複雜。而在眾多的利率衍生性商品中,利率交換選擇權佔有非常高的交易量。本文先介紹何謂利率交換選擇權、選擇權的買賣雙方如何執行契約、承作選擇權可能產生的風險以及選擇權目前的市場概況。熟悉了此金融商品後,另一個重要的問題即是進行評價。由於歐式利率交換選擇權已有公式解,故本文的重點在於使用數值方法中的最小平方蒙地卡羅法評價百慕達式利率交換選擇權。
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Description: 碩士
國立政治大學
應用數學研究所
92751013
94
Source URI: http://thesis.lib.nccu.edu.tw/record/#G0927510131
Data Type: thesis
Appears in Collections:[應用數學系] 學位論文

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