| dc.contributor.advisor | 廖四郎 | zh_TW |
| dc.contributor.advisor | Liao, Szu Lang | en_US |
| dc.contributor.author (Authors) | 葉尚鑫 | zh_TW |
| dc.contributor.author (Authors) | Ye, Shang Shin | en_US |
| dc.creator (作者) | 葉尚鑫 | zh_TW |
| dc.creator (作者) | Ye, Shang Shin | en_US |
| dc.date (日期) | 2007 | en_US |
| dc.date.accessioned | 17-Sep-2009 19:04:45 (UTC+8) | - |
| dc.date.available | 17-Sep-2009 19:04:45 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Sep-2009 19:04:45 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0094352016 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/34006 | - |
| 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) | 94352016 | zh_TW |
| dc.description (描述) | 96 | zh_TW |
| dc.description.abstract (摘要) | 歐式信用違約交換選擇權通常都以短天期較富流動信，造成這樣情形的原因很可能是因為長天期的信用違約交換選擇權必須承擔標的公司的倒閉風險。美式信用違約交換選擇權讓持有者可以在選擇權到期以前履約，這使得持有者可以只注意信用違約交換溢酬的變動，而不必擔心標的公司的倒閉風險。在這篇論文當中，我們結合最小平方法以及單期信用違約溢酬模型評價美式信用違約交換選擇權，其中單期信用違約溢酬模型是由布瑞格在2004年所發表的模型。本篇論文評價方法的最大優點在於此方法類似於利率理論的市場模型，因此我們可以利用類似的想法評價任何與信用違約交換合約相關的信用衍生性商品。 | zh_TW |
| dc.description.abstract (摘要) | The most liquid European CDS options are usually of short maturities. This may result from that options with longer maturity have to bear more default risk of the reference company. American CDS options allow the holders to exercise options before option matures so that they can focus on spread movements without worrying about default risk. In this paper, we price American CDS options with one-period CDS spread model presented by Brigo (2004). The primary advantage of this model is that it is similar to LIBOR market model in interest rate theory. Therefore, path-dependent CDS-related products can be easily priced with familiar ideas. | en_US |
| dc.description.tableofcontents | I. Introduction.....................................1 II. Literature Review...............................4 2.1. Valuation models for credit default swaps......4 2.2. Valuation models for European CDS options......7 2.2.1. Hull and White (2002)........................7 2.2.2. Brigo (2004).................................9 2.3. Valuation method for American CDS options.....11 III. Valuation Framework for CDS options...........13 3.1. Dynamics of one-period forward CDS spreads....14 3.2. Valuation framework for European CDS options..19 3.3. Valuation framework for American CDS options..21 under least-squares Monte Carlo simulation....26 IV. Numerical Examples.............................26 4.1. A comparison with the valuation models by Brigo (2004) and Hull and White (2002)........30 4.2. A comparison among European, Bermudan and American CDS options..........................32 4.3. Sensitivity analysis-changes in market quotes for CDS contracts.............................37 4.4. Sensitivity analysis-changes in volatilities of one-period CDS spreads........................41 V. Conclusion......................................45 Reference.............................................47 Appendix..............................................49 | 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/#G0094352016 | en_US |
| dc.subject (關鍵詞) | 信用違約交換 | zh_TW |
| dc.subject (關鍵詞) | 信用違約交換選擇權 | zh_TW |
| dc.subject (關鍵詞) | 單期信用違約交換率 | zh_TW |
| dc.subject (關鍵詞) | 最小平方蒙地卡羅法 | zh_TW |
| dc.subject (關鍵詞) | CDS | en_US |
| dc.subject (關鍵詞) | CDS option | en_US |
| dc.subject (關鍵詞) | one-period CDS spread | en_US |
| dc.subject (關鍵詞) | least-squares Monte Carlo simulation | en_US |
| dc.subject (關鍵詞) | LIBOR market model | en_US |
| dc.title (題名) | 利用最小平方蒙地卡羅模擬法評價美式信用違約交換選擇權 | zh_TW |
| dc.title (題名) | Pricing American credit default swap options with least-square monte carlo simulation | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 1.Brigo, D., and Alfonsi, A. (2003), “Credit Default Swaps | zh_TW |
| dc.relation.reference (參考文獻) | Calibration and Option Pricing with the SSRD | zh_TW |
| dc.relation.reference (參考文獻) | Stochastic Intensity and Interest-Rate Model,” | zh_TW |
| dc.relation.reference (參考文獻) | http://www.damianobrigo.it | zh_TW |
| dc.relation.reference (參考文獻) | 2.Brigo, D., (2005),”Constant Maturity CDS valuation with | zh_TW |
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| dc.relation.reference (參考文獻) | 3.Brigo, D., Alfonsi, A., (2005) “Credit Default Swap | zh_TW |
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