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https://ah.lib.nccu.edu.tw/handle/140.119/59955
題名: | 三因子BGM模型下匯率連動固定期利率交換商品之評價 A valuation of quanto constant maturity swap products under the three-factor BGM model |
作者: | 楊繡碧 | 貢獻者: | 廖四郎 楊繡碧 |
關鍵詞: | 匯率連動固定期利率交換 匯率連動固定期利率交換利差選擇權 匯率連動固定期利率交換輪棘選擇權 三因子BGM模型 蒙地卡羅模擬法 |
日期: | 2010 | 上傳時間: | 4-Sep-2013 | 摘要: | 匯率連動固定期利率交換商品可做為國外利率交換的輔助工具以提高交換利差的利潤或鎖住現行利差以管理利率風險。以往對匯率連動固定期利率交換商品的評價通常是利用蒙地卡羅模擬法來模擬進行,但這樣的評價方式通常較耗時。本文應用國外遠期交換利率近似於國外遠期LIBOR利率之線性組合的特徵來設定BGM模型下國外遠期交換利率的近似動態過程。基於國外遠期交換利率的近似動態,我們推導出三因子BGM模型下評價匯率連動固定期利率交換利差選擇權及匯率連動固定期利率交換輪棘選擇權的無套利解析公式。數值分析的結果顯示不同履約價下蒙地卡羅模擬法估計值的標準差都很小,表示其變異不大,所以用蒙地卡羅模擬法作為指標方法來比較近似公式解法計算之數值與它的差異應是可以接受的。最後,數值分析的結果亦顯示上述兩種商品在不同履約價下無套利解析公式解法對應蒙地卡羅模擬法的相對誤差都很小且無套利解析公式解法之計算效率亦優於蒙地卡羅模擬法,所以我們建議可在實務上應用近似公式解法來評價匯率連動固定期利率交換利差選擇權及匯率連動固定期利率交換輪棘選擇權兩種商品。 | 參考文獻: | Black, F. (1976). The Pricing of Commodity Contracts, Journal of Financial Economics, 3, 167-179.\nBrace, A., Gatarek, D. & Musiela, M. (1997). The Market Model of Interest Rate Dynamics. Mathematical Finance, 7, 127-155.\nBrigo, D. & Mercurio, F. (2006). Interest Rate Models: Theory and Practice. Second Edition, Springer Verlag.\nHunt, P., & Pelsser, A. (1998). Arbitrage-Free Pricing of Quanto-Swaptions, The Journal of Financial Engineering, 7, 25-33.\nHunter, C. J., Jackel, P. & Joshi, M. S. (2001). Drift Approximations in a Forward-rate-based LIBOR Market Model, Risk Magazine, 14, 1-10. \nHull, J. & White, A. (1999). Forward Rate Volatilities, Swap Rate Volatilities, and the Implementation of the LIBOR Market Model, Journal of Fixed Income, 10, 46-62.\nJamshidian, F. (1997). LIBOR and Swap Market Model and Measure, Finance and Stochastics, 1, 293-330.\nMargrabe, W. (1978). The Value of an Option to Exchange One Asset for Another. Journal of Finance, 33, 177-86.\nMusiela, M. & Rutkowski, M. (1997). Continuous-time Term Structure Models: a Forward Measure Approach. Finance and Stochastics, 1, 261-291.\nRebonato, R. (2004). Volatility and Correlation: the Perfect Hedger and the Fox. Second Edition. John Wiley & Sons, New York.\nLiao, S. L., Lin, S. K. & Tsai, H. P. (2010). An Efficient Valuation and Hedging of Constant Maturity Swap Products under BGM Model, Journal of the Chinese Statistical Association, 48, 161-189. | 描述: | 博士 國立政治大學 金融研究所 93352504 99 |
資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0093352504 | 資料類型: | thesis |
Appears in Collections: | 學位論文 |
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