| dc.contributor.advisor | 廖四郎<br>吳柏林 | zh_TW |
| dc.contributor.author (Authors) | 陳妙津 | zh_TW |
| dc.creator (作者) | 陳妙津 | zh_TW |
| dc.date (日期) | 2005 | en_US |
| dc.date.accessioned | 17-Sep-2009 13:50:33 (UTC+8) | - |
| dc.date.available | 17-Sep-2009 13:50:33 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Sep-2009 13:50:33 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0927510131 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/32609 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 應用數學研究所 | zh_TW |
| dc.description (描述) | 92751013 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (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。 | zh_TW |
| dc.description.tableofcontents | 目錄第一章 緒論 ……………………………………………………………1第二章 LIBOR市場模型 ………………………………………………6 第一節 利率模型的發展概況 ………………………………6 第二節 建立LIBOR市場模型 ………………………………8第三節 遠期LIBOR利率在不同計價單位下的動態過程 …10第三章 最小平方蒙地卡羅法(LSM) …………………………………11 第一節 LSM的適用時機 ……………………………………11 第二節 LSM的作法 …………………………………………13 第三節 LSM的實作範例 ……………………………………16第四章 利率交換選擇權商品的評價及應用 ……………………………22 第一節 利用LSM評價百幕達式利率交換選擇權 …………22 第二節 如何利用選擇權商品避險 ……………………………33第五章 結論 ……………………………………………………………36附錄 …………………………………………………………………………38參考文獻 ……………………………………………………………………40 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0927510131 | en_US |
| dc.subject (關鍵詞) | 百慕達式利率交換選擇權 | zh_TW |
| dc.subject (關鍵詞) | 蒙地卡羅 | zh_TW |
| dc.title (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 | zh_TW |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 參考文獻 | zh_TW |
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