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題名 在跳躍擴散過程下評價利率期貨選擇權
Pricing Interest Rate Futures Options under Jump-Diffusion Process
作者 廖志展
Liao, Chih-Chan
貢獻者 康榮寶<br>廖四郎
Kang, Rong-Bao<br>Liao, Szu-Lang
廖志展
Liao, Chih-Chan
關鍵詞 利率期貨選擇權
跳躍擴散過程
interest rate futures options
jump-diffusion process
日期 2003
上傳時間 18-Sep-2009 14:07:41 (UTC+8)
摘要 The jump phenomenons of many financial assets prices have been observed in many empirical papers. In this paper we extend the Heath-Jarrow-Morton model to include the jump component to derive the European-style pricing formula of the interest rate futures options. We use numerical method to simulate the options prices and analyze how each component of HJM model under jump-diffusion processes affects the interest rate futures options. Finally, we utilize LSM method which are presented by Longstaff and Schwartz to derive American options prices and compare it with European options.
參考文獻 Ahn, C. M., and Thompson, H. E. (1988). Jump-diffusion processes and the term structure of interest rates. Journal of Finance, 43, 155–174.
Amin, K. I., and Morton, A. J. (1994). Implied volatility functions in arbitrage-free term structure models. Journal of Financial Economics, 35, 141–180.
Ball, C. A., and Torous, W. N. (1983). A simplified jump process for common stock returns. Journal of Financial and Quantitative Analysis, 18(1), 53–65.
Ball, C. A., and Torous, W. N. (1985). On jumps in common stock prices and their impact on call option pricing. Journal of Finance, 40(1), 155–173.
Black, F., Derman, E., and Toy, W. (1990). A One Factor Model of Interest Rates and Its Application to Treasury Bond Options. Financial analysts Journal, 46, 33–39.
Black, F., and Karasinski, P. (1991). Bond and option pricing when short rates are lognormal. Financial Analysts Journal, 47(4), 52–59.
Baz, J., and Das, S. (1996). Analytical approximations of the term structure for jump-diffusion processes: A numerical analysis. Journal of Fixed Income 6, 78–86.
Bj&ouml;rk, T., Kabanov, Y., and Runggaldier, W. (1997). Bond market structure in the presence of marked point processes. Mathematical Finance, 7(2), 211–223.
Bj&ouml;rk, T., and Landen, C. (2002). On the term structure of futures and forward prices. In G. Helyette, D. Madan, S. Pliska, & T. Vorst (Eds.), Mathematical finance–Bachelier Congress 2000. Berlin: Springer–Verlag.
Brennan, M. J., and Schwartz, E. S. (1979). A continuous time approach to the pricing of Bonds. Journal of Banking and Finance, 3, 133–155.
Cakici, N., and Zhu, J. (2001). Pricing Eurodollar futures options with the Heath-Jarrow-Morton Model. The Journal of Futures markets, 21(7), 655–680.
Chiarella, C., and T&ocirc;, T.-D. (2003). The jump component of the volatility structure of interest rate futures markets: An international comparison. The Journal of Futures markets, 23(12), 1125–1158.
Cox, J. C., Ingersoll, J., and Ross, S. A. (1981). The relationship between forward prices and futures prices. Journal of Financial Economics, 9, 321–346.
Das, S. R. (2002). The surprise element: Jumps in interest rates. Journal of Econometrics, 106, 27–65.
Dybvig, P. H. (1989). Bond and bond option pricing based on the current term structure. Working Paper, Washington University, 1–21.
Fong, H. G., and Vasicek, O. A. (1991). Interest rate volatility as stochastic factor. Working Paper, Gifford Fong Associates.
Heath, D., Jarrow, R., and Morton, A. (1992). Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation. Econometrica, 60(1), 77–105.
Ho, T. S. Y., and Lee, S. B. (1986). Term structure movements and pricing interest rate contingent claims. Journal of Finance, 41, 1011–1029.
Hull, J. (2003). Options, Futures, and Other Derivatives. Prentice Hall.
Hull, J., and White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573–592.
James, J., and Webber, N. (2000). Interest Rate Modeling. John Wiley.
Jegadeesh, N., and Tuckman, B. (2000). Advanced fixed income valuation tools. Wiley.
Jiang, G. J. (1999). Jump-diffusion model of exchange rate dynamics-Estimation via indirect inference. In S. Holly & S. Greenblatt (Eds.), Issues in computational economics and finance. Amsterdam: Elsevier.
Jorion, P. (1988). On jump processes in the foreign exchange and stock markets. The Review of Financial Studies, 1(4), 427–445.
Longstaff, F. A., and Schwartz, E. S. (1992). Interest rate volatility and term structure: A two-factor general equilibrium model. Journal of Finance, 47, 1259–1282.
Longstaff, F. A., and Schwartz, E. S. (2001). Valuing American options by simulation: A simple least-squares approach. The Review of Financial Studies, 14(1), 113–147.
Merton, R. C. (1976). Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 3, 125–144.
Musiela, M., and Rutkowski, M. (1997). Martingale methods in financial modeling. Springer.
Shirakawa, H. (1991). Interest rate option pricing with Poisson-Gaussian forward rate curve processes. Mathematical Finance, 1(4), 77–94.
Vasicek, O. A. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5, 177–188.
描述 碩士
國立政治大學
國際經營與貿易研究所
91351003
92
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0091351003
資料類型 thesis
dc.contributor.advisor 康榮寶<br>廖四郎zh_TW
dc.contributor.advisor Kang, Rong-Bao<br>Liao, Szu-Langen_US
dc.contributor.author (Authors) 廖志展zh_TW
dc.contributor.author (Authors) Liao, Chih-Chanen_US
dc.creator (作者) 廖志展zh_TW
dc.creator (作者) Liao, Chih-Chanen_US
dc.date (日期) 2003en_US
dc.date.accessioned 18-Sep-2009 14:07:41 (UTC+8)-
dc.date.available 18-Sep-2009 14:07:41 (UTC+8)-
dc.date.issued (上傳時間) 18-Sep-2009 14:07:41 (UTC+8)-
dc.identifier (Other Identifiers) G0091351003en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/35086-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易研究所zh_TW
dc.description (描述) 91351003zh_TW
dc.description (描述) 92zh_TW
dc.description.abstract (摘要) The jump phenomenons of many financial assets prices have been observed in many empirical papers. In this paper we extend the Heath-Jarrow-Morton model to include the jump component to derive the European-style pricing formula of the interest rate futures options. We use numerical method to simulate the options prices and analyze how each component of HJM model under jump-diffusion processes affects the interest rate futures options. Finally, we utilize LSM method which are presented by Longstaff and Schwartz to derive American options prices and compare it with European options.zh_TW
dc.description.tableofcontents 1.Introduction.....................................1
2.Literature Review................................3
3.Model...........................................17
4.Simulation Results..............................30
5.Conclusion......................................40
Appendix..........................................41
References........................................43		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/#G0091351003en_US
dc.subject (關鍵詞) 利率期貨選擇權zh_TW
dc.subject (關鍵詞) 跳躍擴散過程zh_TW
dc.subject (關鍵詞) interest rate futures optionsen_US
dc.subject (關鍵詞) jump-diffusion processen_US
dc.title (題名) 在跳躍擴散過程下評價利率期貨選擇權zh_TW
dc.title (題名) Pricing Interest Rate Futures Options under Jump-Diffusion Processen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Ahn, C. M., and Thompson, H. E. (1988). Jump-diffusion processes and the term structure of interest rates. Journal of Finance, 43, 155–174.zh_TW
dc.relation.reference (參考文獻) Amin, K. I., and Morton, A. J. (1994). Implied volatility functions in arbitrage-free term structure models. Journal of Financial Economics, 35, 141–180.zh_TW
dc.relation.reference (參考文獻) Ball, C. A., and Torous, W. N. (1983). A simplified jump process for common stock returns. Journal of Financial and Quantitative Analysis, 18(1), 53–65.zh_TW
dc.relation.reference (參考文獻) Ball, C. A., and Torous, W. N. (1985). On jumps in common stock prices and their impact on call option pricing. Journal of Finance, 40(1), 155–173.zh_TW
dc.relation.reference (參考文獻) Black, F., Derman, E., and Toy, W. (1990). A One Factor Model of Interest Rates and Its Application to Treasury Bond Options. Financial analysts Journal, 46, 33–39.zh_TW
dc.relation.reference (參考文獻) Black, F., and Karasinski, P. (1991). Bond and option pricing when short rates are lognormal. Financial Analysts Journal, 47(4), 52–59.zh_TW
dc.relation.reference (參考文獻) Baz, J., and Das, S. (1996). Analytical approximations of the term structure for jump-diffusion processes: A numerical analysis. Journal of Fixed Income 6, 78–86.zh_TW
dc.relation.reference (參考文獻) Bj&ouml;rk, T., Kabanov, Y., and Runggaldier, W. (1997). Bond market structure in the presence of marked point processes. Mathematical Finance, 7(2), 211–223.zh_TW
dc.relation.reference (參考文獻) Bj&ouml;rk, T., and Landen, C. (2002). On the term structure of futures and forward prices. In G. Helyette, D. Madan, S. Pliska, & T. Vorst (Eds.), Mathematical finance–Bachelier Congress 2000. Berlin: Springer–Verlag.zh_TW
dc.relation.reference (參考文獻) Brennan, M. J., and Schwartz, E. S. (1979). A continuous time approach to the pricing of Bonds. Journal of Banking and Finance, 3, 133–155.zh_TW
dc.relation.reference (參考文獻) Cakici, N., and Zhu, J. (2001). Pricing Eurodollar futures options with the Heath-Jarrow-Morton Model. The Journal of Futures markets, 21(7), 655–680.zh_TW
dc.relation.reference (參考文獻) Chiarella, C., and T&ocirc;, T.-D. (2003). The jump component of the volatility structure of interest rate futures markets: An international comparison. The Journal of Futures markets, 23(12), 1125–1158.zh_TW
dc.relation.reference (參考文獻) Cox, J. C., Ingersoll, J., and Ross, S. A. (1981). The relationship between forward prices and futures prices. Journal of Financial Economics, 9, 321–346.zh_TW
dc.relation.reference (參考文獻) Das, S. R. (2002). The surprise element: Jumps in interest rates. Journal of Econometrics, 106, 27–65.zh_TW
dc.relation.reference (參考文獻) Dybvig, P. H. (1989). Bond and bond option pricing based on the current term structure. Working Paper, Washington University, 1–21.zh_TW
dc.relation.reference (參考文獻) Fong, H. G., and Vasicek, O. A. (1991). Interest rate volatility as stochastic factor. Working Paper, Gifford Fong Associates.zh_TW
dc.relation.reference (參考文獻) Heath, D., Jarrow, R., and Morton, A. (1992). Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation. Econometrica, 60(1), 77–105.zh_TW
dc.relation.reference (參考文獻) Ho, T. S. Y., and Lee, S. B. (1986). Term structure movements and pricing interest rate contingent claims. Journal of Finance, 41, 1011–1029.zh_TW
dc.relation.reference (參考文獻) Hull, J. (2003). Options, Futures, and Other Derivatives. Prentice Hall.zh_TW
dc.relation.reference (參考文獻) Hull, J., and White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573–592.zh_TW
dc.relation.reference (參考文獻) James, J., and Webber, N. (2000). Interest Rate Modeling. John Wiley.zh_TW
dc.relation.reference (參考文獻) Jegadeesh, N., and Tuckman, B. (2000). Advanced fixed income valuation tools. Wiley.zh_TW
dc.relation.reference (參考文獻) Jiang, G. J. (1999). Jump-diffusion model of exchange rate dynamics-Estimation via indirect inference. In S. Holly & S. Greenblatt (Eds.), Issues in computational economics and finance. Amsterdam: Elsevier.zh_TW
dc.relation.reference (參考文獻) Jorion, P. (1988). On jump processes in the foreign exchange and stock markets. The Review of Financial Studies, 1(4), 427–445.zh_TW
dc.relation.reference (參考文獻) Longstaff, F. A., and Schwartz, E. S. (1992). Interest rate volatility and term structure: A two-factor general equilibrium model. Journal of Finance, 47, 1259–1282.zh_TW
dc.relation.reference (參考文獻) Longstaff, F. A., and Schwartz, E. S. (2001). Valuing American options 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) Merton, R. C. (1976). Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 3, 125–144.zh_TW
dc.relation.reference (參考文獻) Musiela, M., and Rutkowski, M. (1997). Martingale methods in financial modeling. Springer.zh_TW
dc.relation.reference (參考文獻) Shirakawa, H. (1991). Interest rate option pricing with Poisson-Gaussian forward rate curve processes. Mathematical Finance, 1(4), 77–94.zh_TW
dc.relation.reference (參考文獻) Vasicek, O. A. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5, 177–188.zh_TW