| dc.contributor.advisor | 胡聯國<br>廖四郎 | zh_TW |
| dc.contributor.advisor | Hu,Lien-Kuo<br>Liao,Szu-Lang | en_US |
| dc.contributor.author (Authors) | 張佳沛 | zh_TW |
| dc.contributor.author (Authors) | Chang,Chia-Pai | en_US |
| dc.creator (作者) | 張佳沛 | zh_TW |
| dc.creator (作者) | Chang,Chia-Pai | en_US |
| dc.date (日期) | 2003 | en_US |
| dc.date.accessioned | 18-Sep-2009 14:16:26 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 14:16:26 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 14:16:26 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0913510351 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/35146 | - |
| 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) | 91351035 | zh_TW |
| dc.description (描述) | 92 | zh_TW |
| dc.description.abstract (摘要) | 我們使用一個新方法來評價美式或歐式的或有求償權，其受到本地利率和權益價值的影響。我們使用標的資產的遠期價格的樹狀圖，進而對或有求償權作定價。其中我們評價了美式與歐式的股票選擇權，以及利率期貨和利率期貨選擇權。 | zh_TW |
| dc.description.abstract (摘要) | We introduce a methodology for pricing American or European style contingent claims, influenced by domestic interest rates, and equity prices. Instead of using trees of short-term interest rate, bond price or forward interest rate, this tree method will use the forward prices of underlying assets to derive implied binomial spot-price tree and in turn price long term American or European options, and interest rate futures and interest rate futures options. | en_US |
| dc.description.tableofcontents | AbstractⅠ、IntroductionⅡ、Terminology and notationⅢ、The forward-risk adjusted measureⅣ、Lattice methodⅤ、Pricing European stock optionsⅥ、Binomial Implied Spot-Price Tree Ⅵ-Ⅰ Binomial implied spot-price tree Ⅵ-Ⅱ Pricing American stock optionsⅦ、Short-Term Interest-Rate Futures Ⅶ-Ⅰ Treasury Bills and Treasury Bill Futures Ⅶ-Ⅱ Eurodollar and EURIBOR FuturesⅧ、Interest Rate Futures OptionsⅨ、Comparison of the HJM Model with Black’s ModelⅩ、Conclusion Reference | zh_TW |
| dc.format.extent | 80228 bytes | - |
| dc.format.extent | 99807 bytes | - |
| dc.format.extent | 42719 bytes | - |
| dc.format.extent | 44854 bytes | - |
| dc.format.extent | 61601 bytes | - |
| dc.format.extent | 56333 bytes | - |
| dc.format.extent | 61703 bytes | - |
| dc.format.extent | 77011 bytes | - |
| dc.format.extent | 63193 bytes | - |
| dc.format.extent | 136866 bytes | - |
| dc.format.extent | 110278 bytes | - |
| dc.format.extent | 76713 bytes | - |
| dc.format.extent | 68533 bytes | - |
| dc.format.extent | 43208 bytes | - |
| dc.format.extent | 47120 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.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/#G0913510351 | en_US |
| dc.subject (關鍵詞) | HJM模型 | zh_TW |
| dc.subject (關鍵詞) | 遠期定價 | zh_TW |
| dc.subject (關鍵詞) | 利率期貨 | zh_TW |
| dc.subject (關鍵詞) | 美式選擇權 | zh_TW |
| dc.subject (關鍵詞) | HJM Model | en_US |
| dc.subject (關鍵詞) | forward-risk adjusted | en_US |
| dc.subject (關鍵詞) | interest rate fututres | en_US |
| dc.subject (關鍵詞) | American option | en_US |
| dc.title (題名) | 在HJM模型下使用遠期定價法評價或有求償權 | zh_TW |
| dc.title (題名) | Pricing Contingent Claims under HJM Model using Forward Pricing Method | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | Amin. K., and J. Bodurtha, 1995, “Discrete Time Valuation of American Options with Stochastic Interest Rates,” Review of Financial Studies, 8, 193-234. | zh_TW |
| dc.relation.reference (參考文獻) | Cakici Nusert and Jintao Zhu, 2001, “Pricing Eurodollar Futures Options with the Heath-Jarrow-Morton Model,” The Journal of Futures Markets, Vol. 21, No. 7, 655-680 | zh_TW |
| dc.relation.reference (參考文獻) | Cox, J. C., S. A. Ross, and M. Rubinstein, 1979,”Option Pricing: A Simplified Approach,” Journal of financial Economics, 7, 229-263 | zh_TW |
| dc.relation.reference (參考文獻) | Das, S. R. 1999, “A Direct Discrete-Time Approach to Possion-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model,” Journal of Economic Dynamics& Control, 23, 333-369 | zh_TW |
| dc.relation.reference (參考文獻) | Frechette Darren L., 2001, ”The Demand for Hedging with Futures and Options,” The Journal of Futures Markets, Vol. 21, No. 8, 693-712. | zh_TW |
| dc.relation.reference (參考文獻) | Geman, H., 1989, “The Importance of the Forward neutral Probability in a Stochastic Approach of Interest Rates,” working paper, ESSEC. | zh_TW |
| dc.relation.reference (參考文獻) | Geman, H., N. E. Karoui, and J. C. Rochet., 1995, “Change of Numeraire, Changes of Probability Measures and Pricing of Options,” Journal of Applied probability, 32, 443-458 | zh_TW |
| dc.relation.reference (參考文獻) | Heath, D, C., R. A. Jarrow, and A. J. Morton, 1990, “Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation,” Journal of Financial and Quantitative Analysis, 25, 419-440. | zh_TW |
| dc.relation.reference (參考文獻) | Heath, D, C., R. A. Jarrow, and A. J. Morton, 1992, “Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation,” Econometrica, Vol. 60, No. 1, 77-105. | zh_TW |
| dc.relation.reference (參考文獻) | Ho, T. S. Y., and S. B. Lee, 1986, “Term Structure Movements and Pricing of Interest Rate Claims,” Journal of Finance, 41, 1011-1029. | zh_TW |
| dc.relation.reference (參考文獻) | Hull. J, and A. White, 1994a, “Numerical Procedures for Implementing Term Structure Model: Single-Factor Models,” The Journal of Derivatives, Fall, 7-16. | zh_TW |
| dc.relation.reference (參考文獻) | Hull, J. and A. White, 1996, “Using Hull-White Interest Rate Trees,” The Journal of Derivatives, 3(3), 26-36. | zh_TW |
| dc.relation.reference (參考文獻) | John J. and Merrick, JR., 2000, ”Pascal Spreading of Short-Term Interest Rate Contracts,” The Journal of Futures Markets, Vol.20, No.10, 889-910. | zh_TW |
| dc.relation.reference (參考文獻) | Kavussanos Manolis G. and Nikos K. Nomikos, 2000,”Futures Hedging when the Structure of the Underlying Asset Changes: The Case of the BIFFEX Contract” Journal of Futures Markets, Vol.20, No.8, 775-801. | zh_TW |
| dc.relation.reference (參考文獻) | Menkveld, B. and T. Vorst, 2000, “A Pricing Model for American Options with Gaussian Interest Rates,” Annals of Operations Research, 100(1), 211-226 | zh_TW |
| dc.relation.reference (參考文獻) | Pedro Santa-Clara and Didier Sornette, 2001,“The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks,” The Review of Financial Studies Spring Vol. 14, No.1, 149-185. | zh_TW |
