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題名: | 利用最小平方蒙地卡羅法評價百幕達式利率交換選擇權 | 作者: | 陳妙津 | 貢獻者: | 廖四郎<br>吳柏林 陳妙津 |
關鍵詞: | 百慕達式利率交換選擇權 蒙地卡羅 |
日期: | 2005 | 上傳時間: | 17-九月-2009 | 摘要: | 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。 | 參考文獻: | 參考文獻 1.Broadie, M., Glasserman, P. (1997). “Pricing American- Style Securities Using Simulation”. Journal of Economic Dynamics and Control, Vol.21, No.8/9, 1323-1352. 2.Broadie, M., Glasserman, P. (1997). “Monte Carlo Methods for Pricing High-Dimensional American Options: An Overview”. Net Exposure, Issue 3, 15-37. 3.Boyle, P.P. (1977). “Options:A Monte Carlo Approach”. Journal of Financial Economics, 4, pp.323-338. 4.Ibanez, A., Zapatero,F. (2001). “ Monte Carlo Valuation of American Options Through Computation of the Optimal Exercise Frontier”. Working paper. 5.Longstaff, F., Schwartz, E. (2001). “ Valuing American Options by Simulation: A Simple Least-Squares Approach”. The Review of Financial Studies 14(1) 113-147. 6.MB. Jensen (2001). “ Efficient Method of Moments Estimation of the Longstaff and Schwartz Interest Rate Model”. Working paper, Department of Business Studies, Aalborg University. 7.P. Jäckel (2000). “Non-recombining Trees for the Pricing of Interest Rate Derivatives in the BGM/J Framework”. Internal report, The Royal Bank of Scotland, 135 Bishopsgate, London EC2M 3UR. 8.P. Jäckel (2000). “Monte Carlo in the BGM/J framework: Using a Non-recombining Tree to Design a new pricing method for Bermudan Swaptions”. Internal report, The Royal Bank of Scotland, 135 Bishopsgate, London EC2M 3UR. 9.R. Bilger (2003). “ Valuing American-Asian Options with the Longstaff-Schwartz Algorithm”. master’s thesis, University of Oxford. 10.R. Pietersz, A. Pelsser (2003). “ Risk Managing Bermudan Swaptions in the Libor BGM Model”. Finance 1- 28. 11.Tilley, J. (1993). “Valuing American Options in a Path SimulationModel”. Transactions of the Society of Actuaries, 45, pp.83-104. 12.(2004). “Valuation of Energy Derivatives with Monte Carlo Methods”. master’s thesis, University of Oxford. |
描述: | 碩士 國立政治大學 應用數學研究所 92751013 94 |
資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0927510131 | 資料類型: | thesis |
Appears in Collections: | 學位論文 |
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