| dc.contributor | 國立政治大學金融系 | en_US |
| dc.contributor | 行政院國家科學委員會 | en_US |
| dc.creator (作者) | 陳松男 | zh_TW |
| dc.date (日期) | 2008 | en_US |
| dc.date.accessioned | 25-Jun-2012 15:16:43 (UTC+8) | - |
| dc.date.available | 25-Jun-2012 15:16:43 (UTC+8) | - |
| dc.date.issued (上傳時間) | 25-Jun-2012 15:16:43 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/53163 | - |
| dc.description.abstract (摘要) | 匯率連動利率選擇權（Quanto Interest-Rate Options；QIROs），亦可稱為跨通貨利率選擇權（Cross-Currency Interest-Rate Options），可作為企業與投資者管理跨國間利率風險的商品，本研究將對QIROs 進行評價與分析。本文欲使用 BGM (1997) 提出的LIBOR Market Model (LMM)進行研究評價，因QIROs 具有匯率連動效果( Quanto effect )，在評價時須將此效果納入考量。跨通貨LIBOR 市場模型(the Cross-Currency LMM) 由單一國家經濟環境延伸至兩國經濟環境，在此模型中兩國的LIBOR 與匯率的動態過程適用於推導QIROs 的評價公式。文中將以平賭過程評價方法，對 QIROs 進行評價推導理論封閉解 (Closed-Form Solution)，並作避險策略與實務應用的探討，除可供學術研究之參考，亦可供發行金融機構與投資人於實務運用之參考。為能供實務運用，並將探討如何進行參數校準(Calibration)；文中亦將進行蒙地卡羅模擬（Monte Carlo Simulation）以分析模型理論解的準確性。 | en_US |
| dc.description.abstract (摘要) | The purpose of this paper is to price quanto interest-rate options (QIROs). To achieve it, a new model, namely, the cross-currency LIBOR market model, which extends the initial LIBOR market model from a single-currency economy to a cross-currency economy is adopted. The cross-currency LIBOR market model is suitable and applicable to pricing a variety of quanto-type interest rate derivatives. Five types of quanto interest-rate options are priced in this article. Hedging strategies and calibration procedures are also discussed in details. In addition, Monte-Carlo simulation is provided to evaluate the accuracy of the theoretical prices. | en_US |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | 應用研究 | en_US |
| dc.relation (關聯) | 學術補助 | en_US |
| dc.relation (關聯) | 研究期間:9708~ 9807 | en_US |
| dc.relation (關聯) | 研究經費:722仟元 | en_US |
| dc.subject (關鍵詞) | 匯率連動利率選擇權;LIBOR 市場模型 | en_US |
| dc.subject (關鍵詞) | Quanto; Interest rate option; LIBOR Market Model表 | en_US |
| dc.title (題名) | 匯率連動利率選擇權之評價---跨國 LIBOR市場模型 | zh_TW |
| dc.title.alternative (其他題名) | Valuation of Quanto Interest-Rate Options in a Cross-Currency Libor Market Model | en_US |
| dc.type (資料類型) | report | en |
