| 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://ah.lib.nccu.edu.tw/item?item_id=32417 | - |
| 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\r\n第一節 研究動機\r\n第二節、研究目的\r\n第三節、研究架構\r\n第四節、 利率上限選擇權及平均利率上限選擇權\r\n第貳章 文獻回顧\r\n第一節、Hedging Interest Rate Risk with Options on Average Interest Rates\r\n第二節、Average Interest Rate Caps\r\n第三節、平均利率上限契約之評價與應用\r\n第參章 研究方法\r\n第一節、Forward LIBOR Tree\r\n第二節、評價平均利率上限選擇權\r\n第肆章□顳獢B參數分析\r\n第一節、模型波動度\r\n第二節、選擇權價格分析\r\n第伍章 結論及續後研究建議\r\n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 |
| dc.relation.reference (參考文獻) | namics.”, Math.Finance 7,127-154. | zh_TW |
| dc.relation.reference (參考文獻) | 7.Hull , J., and A. White.（1993） “Efficient Procedures for Valuing European and American Path-Dependent Derivatives.” Journal of Derivatives | zh_TW |
| dc.relation.reference (參考文獻) | 8.Jamshidian,F.（1997） “Libor and swap market models and measures.”, Finance | zh_TW |
| 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 |
