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題名 百慕達式利率交換選擇權
作者 王祥帆
Wang, Hsiang-Fan
貢獻者 江彌修
Chiang, Mi-Hsiu
王祥帆
Wang, Hsiang-Fan
關鍵詞 百慕達式利率交換選擇權
Bermudan Swaption
日期 2004
上傳時間 17-Sep-2009 19:06:31 (UTC+8)
摘要 摘要
許多公司在發行可贖回公司債時(Callable Bond),為了規避利率變動的風險因此簽訂利率交換(IRS)契約,此外,考慮到提前贖回的可能性,更進一步承做利率交換選擇權(Swaption),在利率交換選擇權的部分,一般又會配合特定贖回時點而設計,因此可以視為百慕達式的利率交換選擇權(Bermudan Swaption)。大致而言,百慕達式利率交換選擇權(Bermudan Swaption)可以分為兩類,一類是不論履約時點為何均固定交換期間長度的選擇權,又可稱為Constant Maturity Bermudan Swaption,另一類則是固定商品到期日,即選擇權到期期間與利率交換期間相加為固定常數,換言之,越晚做提前履約的動作,則利率交換的期間也相對便短。
至於在評價部分,百慕達式或美式這些具有提前履約特性的選擇權其封閉解並不存在,因此需要利用到其他的近似解或是數值方法來幫助我們評價。由於本文採用BGM(1997)的市場利率模型(Libor Market Model),在其高維度的特性下,樹狀方法以及有限差分法並不適用,因此本文選擇使用蒙地卡羅法來幫助我們評價,同時採用Longstaff and Schwartz (2001)的最小平方蒙地卡羅法(Least Squares Monte Carlo Method)來解決傳統蒙地卡羅法無法處理提前履約的困擾。
最後,本文將利用BGM(1997)的利率模型配合Longstaff and Schwartz (2001)的方法實際評價三種商品,包含了上述兩種不同類型的百慕達式利率交換選擇權(Bermudan Swaption),再加上由中信金所發行的利率交換選擇權(Swaption),並探討歐式與百慕達式商品價格之差異。
參考文獻 參考文獻
1. Alpsten, H., 2003, “Pricing Bermudan swap options using the BGM model with arbitrage – free discretisation and boundary based option exercise”, Working paper, Department of Mathematics Royal Institute of Technology.
2. Amin, A., 2001, “Pricing Bermudan Fixed Income Derivatives in Multi – Factor Extended LIBOR Market Model”, Working paper, http://www.geocities.com/anan2999/.
3. Andersen, L., 2000, “A Simple Approach to the Pricing of Bermudan Swaptions in the Multi – Factor Libor Market Model”, Journal of Computational Finance 3(2), 1-32.
4. Brace, A., D. Gatarek, and M. Musiela, 1997, “The Market Model of Interest Rate Dynamics.”, Mathematical Finance 7(2), 127-155.
5. Brigo, D., and F. Mercurio, 2001, “Interest Rate Models Theory and Practice.”, Springer.
6. Broadie, M., and P. Glasserman, 1997, “A Stochastic Mesh Method for Pricing High- Dimensional American Options.” Working paper, Columbia University.
7. Carr, P. and G. Yang, 1997, “Simulating Bermudan Interest Rate Derivatives”, Working paper, Courant Institute at New York University.
8. Clewlow, L., and C. Strickland, 1998, “Implementing Derivatives Models”, Published by John Wiley & Sons, Ltd.
9. Cox, J. C., J. E. Ingersoll, Jr., and S. A. Ross, 1985, “A Theory of the Term Structure of Interest Rates.”, Econometrica 53(2), 385-407.
10. Flavell, R., 2002, “Swaps and Other Derivatives.”, Published by John Wiley & Sons, Ltd.
11. Heath, D., R. Jarrow, and A. Morton, 1992, “Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claim Valuation.”, Econometrica 60(1), 77-105.
12. Ho, T. S. Y., and S. B. Lee, 1986, “Term Structure Movements and Pricing Interest Rate Contingent Claim.”, The Journal of Finance 41(5), 1011-1029.
13. Hull, J., 2003, “Options, Futures and Other Derivatives.”, Published by Pearson Education, Inc.
14. Hull, J., and A. White, 1990, “Pricing Interest-Rate-Derivative Securities.”, The Review if Financial Studies 3(4), 573-592.
15. Hull, J., and A. White, 1993, “One-Factor Interest-Rate Models and the Valuation of Interest Rate Derivative Securities.”, Journal of Financial and Quantitative Analysis 28(2), 235-254.
16. Hull, J., and A. White, 1996, “Using Hull-White Interest Rate Trees.”, The Journal of Derivatives Spring, 26-36.
17. Hull, J., and A. White, 2000, “Forward Rate Volatilities, Swap Rate Volatilities, and The Implementation of The LIBOR Market Model.”, Journal of Fixed Income, 9, 46-62.
18. London, J., 2005, “Modeling Derivatives in C++”, Published by John Wiley & Sons, Ltd..
19. Longstaff, F. A., and E. S. Schwartz, 2001, “Valuing American Potions by Simulation: A Simple Least – Squares Approach”, The Review of Financial Studies 14(1), 113-147.
20. Moreno, M., and J. F. Navas, 2001, “On the Robustness of Least – Squares Monte Carlo (LSM) for Pricing American Derivatives”, Pompeu Fabra University, Appril, Preprint.
21. Munk, C., 2003, “Fixed Income Analysis: Securities, Pricing, and Risk Management.” University of Southern Demark Dept. of Accounting and Finance.
22. Pedersen, M. B, 1999, “Bermudan Swaptions in the LIBOR Market Model”, Financial Research Department, Preprint.
23. Pietersz, R. and A. Pelsser, 2003, “Risk Managing Bermudan Swaptions in the LIBOR BGM Model”, Preprint.
24. Rebonato, R., 2002, “Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond.”, Published by Princeton University Press.
25. Svoboda, S., 2004, “Interest Rate Modelling”, Published by Palgrave Macmillan.
26. Tavella, D., 2002, “Quantitative Methods in Derivatives Pricing: An Introduction to Computational Finance”, Published by John Wiley & Sons, Ltd.
27. Vasicek, O., 1997, “An Equilibrium Characterization of the Term Structure.”, Journal of Financial Economics 5, 177-188.
描述 碩士
國立政治大學
金融研究所
92352005
93
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0923520051
資料類型 thesis
dc.contributor.advisor 江彌修zh_TW
dc.contributor.advisor Chiang, Mi-Hsiuen_US
dc.contributor.author (Authors) 王祥帆zh_TW
dc.contributor.author (Authors) Wang, Hsiang-Fanen_US
dc.creator (作者) 王祥帆zh_TW
dc.creator (作者) Wang, Hsiang-Fanen_US
dc.date (日期) 2004en_US
dc.date.accessioned 17-Sep-2009 19:06:31 (UTC+8)-
dc.date.available 17-Sep-2009 19:06:31 (UTC+8)-
dc.date.issued (上傳時間) 17-Sep-2009 19:06:31 (UTC+8)-
dc.identifier (Other Identifiers) G0923520051en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/34018-
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) 92352005zh_TW
dc.description (描述) 93zh_TW
dc.description.abstract (摘要) 摘要
許多公司在發行可贖回公司債時(Callable Bond),為了規避利率變動的風險因此簽訂利率交換(IRS)契約,此外,考慮到提前贖回的可能性,更進一步承做利率交換選擇權(Swaption),在利率交換選擇權的部分,一般又會配合特定贖回時點而設計,因此可以視為百慕達式的利率交換選擇權(Bermudan Swaption)。大致而言,百慕達式利率交換選擇權(Bermudan Swaption)可以分為兩類,一類是不論履約時點為何均固定交換期間長度的選擇權,又可稱為Constant Maturity Bermudan Swaption,另一類則是固定商品到期日,即選擇權到期期間與利率交換期間相加為固定常數,換言之,越晚做提前履約的動作,則利率交換的期間也相對便短。
至於在評價部分,百慕達式或美式這些具有提前履約特性的選擇權其封閉解並不存在,因此需要利用到其他的近似解或是數值方法來幫助我們評價。由於本文採用BGM(1997)的市場利率模型(Libor Market Model),在其高維度的特性下,樹狀方法以及有限差分法並不適用,因此本文選擇使用蒙地卡羅法來幫助我們評價,同時採用Longstaff and Schwartz (2001)的最小平方蒙地卡羅法(Least Squares Monte Carlo Method)來解決傳統蒙地卡羅法無法處理提前履約的困擾。
最後,本文將利用BGM(1997)的利率模型配合Longstaff and Schwartz (2001)的方法實際評價三種商品,包含了上述兩種不同類型的百慕達式利率交換選擇權(Bermudan Swaption),再加上由中信金所發行的利率交換選擇權(Swaption),並探討歐式與百慕達式商品價格之差異。
zh_TW
dc.description.tableofcontents 目 錄

第一章 緒論................................................................................................................1
第二章 文獻回顧........................................................................................................6
第一節 利率模型....................................................................6
第二節 研究方法..................................................................9
第三章 模型設定與研究方法..................................................................................16
第一節 市場模型.....................................................................16
第二節 交換利率與歐式利率交換選擇權..............................................19
第三節 最小平方蒙地卡羅法…..................................................…22
第四章 百慕達式利率交換選擇權之分析與實證..................................................25
第一節 固定交換期間之百慕達式利率交換選擇權..............................25
第二節 百慕達式利率交換選擇權……..................................................34
第三節 中國信託發行之歐式利率交換選擇權……..............................43
第五章 結論..............................................................................................................46
附錄一.........................................................................................................................48
附錄二.........................................................................................................................50
參考文獻......................................................................................................................52
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dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0923520051en_US
dc.subject (關鍵詞) 百慕達式利率交換選擇權zh_TW
dc.subject (關鍵詞) Bermudan Swaptionen_US
dc.title (題名) 百慕達式利率交換選擇權zh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 參考文獻zh_TW
dc.relation.reference (參考文獻) 1. Alpsten, H., 2003, “Pricing Bermudan swap options using the BGM model with arbitrage – free discretisation and boundary based option exercise”, Working paper, Department of Mathematics Royal Institute of Technology.zh_TW
dc.relation.reference (參考文獻) 2. Amin, A., 2001, “Pricing Bermudan Fixed Income Derivatives in Multi – Factor Extended LIBOR Market Model”, Working paper, http://www.geocities.com/anan2999/.zh_TW
dc.relation.reference (參考文獻) 3. Andersen, L., 2000, “A Simple Approach to the Pricing of Bermudan Swaptions in the Multi – Factor Libor Market Model”, Journal of Computational Finance 3(2), 1-32.zh_TW
dc.relation.reference (參考文獻) 4. Brace, A., D. Gatarek, and M. Musiela, 1997, “The Market Model of Interest Rate Dynamics.”, Mathematical Finance 7(2), 127-155.zh_TW
dc.relation.reference (參考文獻) 5. Brigo, D., and F. Mercurio, 2001, “Interest Rate Models Theory and Practice.”, Springer.zh_TW
dc.relation.reference (參考文獻) 6. Broadie, M., and P. Glasserman, 1997, “A Stochastic Mesh Method for Pricing High- Dimensional American Options.” Working paper, Columbia University.zh_TW
dc.relation.reference (參考文獻) 7. Carr, P. and G. Yang, 1997, “Simulating Bermudan Interest Rate Derivatives”, Working paper, Courant Institute at New York University.zh_TW
dc.relation.reference (參考文獻) 8. Clewlow, L., and C. Strickland, 1998, “Implementing Derivatives Models”, Published by John Wiley & Sons, Ltd.zh_TW
dc.relation.reference (參考文獻) 9. Cox, J. C., J. E. Ingersoll, Jr., and S. A. Ross, 1985, “A Theory of the Term Structure of Interest Rates.”, Econometrica 53(2), 385-407.zh_TW
dc.relation.reference (參考文獻) 10. Flavell, R., 2002, “Swaps and Other Derivatives.”, Published by John Wiley & Sons, Ltd.zh_TW
dc.relation.reference (參考文獻) 11. Heath, D., R. Jarrow, and A. Morton, 1992, “Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claim Valuation.”, Econometrica 60(1), 77-105.zh_TW
dc.relation.reference (參考文獻) 12. Ho, T. S. Y., and S. B. Lee, 1986, “Term Structure Movements and Pricing Interest Rate Contingent Claim.”, The Journal of Finance 41(5), 1011-1029.zh_TW
dc.relation.reference (參考文獻) 13. Hull, J., 2003, “Options, Futures and Other Derivatives.”, Published by Pearson Education, Inc.zh_TW
dc.relation.reference (參考文獻) 14. Hull, J., and A. White, 1990, “Pricing Interest-Rate-Derivative Securities.”, The Review if Financial Studies 3(4), 573-592.zh_TW
dc.relation.reference (參考文獻) 15. Hull, J., and A. White, 1993, “One-Factor Interest-Rate Models and the Valuation of Interest Rate Derivative Securities.”, Journal of Financial and Quantitative Analysis 28(2), 235-254.zh_TW
dc.relation.reference (參考文獻) 16. Hull, J., and A. White, 1996, “Using Hull-White Interest Rate Trees.”, The Journal of Derivatives Spring, 26-36.zh_TW
dc.relation.reference (參考文獻) 17. Hull, J., and A. White, 2000, “Forward Rate Volatilities, Swap Rate Volatilities, and The Implementation of The LIBOR Market Model.”, Journal of Fixed Income, 9, 46-62.zh_TW
dc.relation.reference (參考文獻) 18. London, J., 2005, “Modeling Derivatives in C++”, Published by John Wiley & Sons, Ltd..zh_TW
dc.relation.reference (參考文獻) 19. Longstaff, F. A., and E. S. Schwartz, 2001, “Valuing American Potions by Simulation: A Simple Least – Squares Approach”, The Review of Financial Studies 14(1), 113-147.zh_TW
dc.relation.reference (參考文獻) 20. Moreno, M., and J. F. Navas, 2001, “On the Robustness of Least – Squares Monte Carlo (LSM) for Pricing American Derivatives”, Pompeu Fabra University, Appril, Preprint.zh_TW
dc.relation.reference (參考文獻) 21. Munk, C., 2003, “Fixed Income Analysis: Securities, Pricing, and Risk Management.” University of Southern Demark Dept. of Accounting and Finance.zh_TW
dc.relation.reference (參考文獻) 22. Pedersen, M. B, 1999, “Bermudan Swaptions in the LIBOR Market Model”, Financial Research Department, Preprint.zh_TW
dc.relation.reference (參考文獻) 23. Pietersz, R. and A. Pelsser, 2003, “Risk Managing Bermudan Swaptions in the LIBOR BGM Model”, Preprint.zh_TW
dc.relation.reference (參考文獻) 24. Rebonato, R., 2002, “Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond.”, Published by Princeton University Press.zh_TW
dc.relation.reference (參考文獻) 25. Svoboda, S., 2004, “Interest Rate Modelling”, Published by Palgrave Macmillan.zh_TW
dc.relation.reference (參考文獻) 26. Tavella, D., 2002, “Quantitative Methods in Derivatives Pricing: An Introduction to Computational Finance”, Published by John Wiley & Sons, Ltd.zh_TW
dc.relation.reference (參考文獻) 27. Vasicek, O., 1997, “An Equilibrium Characterization of the Term Structure.”, Journal of Financial Economics 5, 177-188.zh_TW