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| Title | 在HJM模型下使用遠期定價法評價或有求償權 Pricing Contingent Claims under HJM Model using Forward Pricing Method |
| Creator | 張佳沛 Chang,Chia-Pai |
| Contributor | 胡聯國<br>廖四郎 Hu,Lien-Kuo<br>Liao,Szu-Lang 張佳沛 Chang,Chia-Pai |
| Key Words | HJM模型 遠期定價 利率期貨 美式選擇權 HJM Model forward-risk adjusted interest rate fututres American option |
| Date | 2003 |
| Date Issued | 18-Sep-2009 14:16:26 (UTC+8) |
| Summary | 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。 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. |
| 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. 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 Cox, J. C., S. A. Ross, and M. Rubinstein, 1979,”Option Pricing: A Simplified Approach,” Journal of financial Economics, 7, 229-263 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 Frechette Darren L., 2001, ”The Demand for Hedging with Futures and Options,” The Journal of Futures Markets, Vol. 21, No. 8, 693-712. Geman, H., 1989, “The Importance of the Forward neutral Probability in a Stochastic Approach of Interest Rates,” working paper, ESSEC. 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 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. 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. Ho, T. S. Y., and S. B. Lee, 1986, “Term Structure Movements and Pricing of Interest Rate Claims,” Journal of Finance, 41, 1011-1029. Hull. J, and A. White, 1994a, “Numerical Procedures for Implementing Term Structure Model: Single-Factor Models,” The Journal of Derivatives, Fall, 7-16. Hull, J. and A. White, 1996, “Using Hull-White Interest Rate Trees,” The Journal of Derivatives, 3(3), 26-36. 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. 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. Menkveld, B. and T. Vorst, 2000, “A Pricing Model for American Options with Gaussian Interest Rates,” Annals of Operations Research, 100(1), 211-226 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. |
| Description | 碩士 國立政治大學 國際經營與貿易研究所 91351035 92 |
| 資料來源 | http://thesis.lib.nccu.edu.tw/record/#G0913510351 |
| Type | thesis |
| 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 | Abstract Ⅰ、Introduction Ⅱ、Terminology and notation Ⅲ、The forward-risk adjusted measure Ⅳ、Lattice method Ⅴ、Pricing European stock options Ⅵ、Binomial Implied Spot-Price Tree Ⅵ-Ⅰ Binomial implied spot-price tree Ⅵ-Ⅱ Pricing American stock options Ⅶ、Short-Term Interest-Rate Futures Ⅶ-Ⅰ Treasury Bills and Treasury Bill Futures Ⅶ-Ⅱ Eurodollar and EURIBOR Futures Ⅷ、Interest Rate Futures Options Ⅸ、Comparison of the HJM Model with Black’s Model Ⅹ、Conclusion Reference | 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/#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 |