| dc.contributor.advisor | 江彌修 | zh_TW |
| dc.contributor.advisor | Chiang, Mi-Hsiu | en_US |
| dc.contributor.author (Authors) | 王祥帆 | zh_TW |
| dc.contributor.author (Authors) | Wang, Hsiang-Fan | en_US |
| dc.creator (作者) | 王祥帆 | zh_TW |
| dc.creator (作者) | Wang, Hsiang-Fan | en_US |
| dc.date (日期) | 2004 | en_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) | G0923520051 | en_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) | 92352005 | zh_TW |
| dc.description (描述) | 93 | zh_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 | zh_TW |
| dc.format.extent | 42150 bytes | - |
| dc.format.extent | 77239 bytes | - |
| dc.format.extent | 65713 bytes | - |
| dc.format.extent | 48082 bytes | - |
| dc.format.extent | 321844 bytes | - |
| dc.format.extent | 348632 bytes | - |
| dc.format.extent | 354750 bytes | - |
| dc.format.extent | 395842 bytes | - |
| dc.format.extent | 267664 bytes | - |
| dc.format.extent | 297070 bytes | - |
| dc.format.extent | 269845 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0923520051 | 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) | Bermudan Swaption | en_US |
| dc.title (題名) | 百慕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 |
| 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 |
