| dc.contributor.advisor | 江彌修 | zh_TW |
| dc.contributor.advisor | Chiang, Mi-Hsiu | en_US |
| dc.contributor.author (作者) | 王祥帆 | zh_TW |
| dc.contributor.author (作者) | 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 | 17-九月-2009 19:06:31 (UTC+8) | - |
| dc.date.available | 17-九月-2009 19:06:31 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-九月-2009 19:06:31 (UTC+8) | - |
| dc.identifier (其他 識別碼) | 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 |
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| 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 |
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