| dc.creator (作者) | 王昭文;廖四郎 | zh_TW |
| dc.creator (作者) | Wang, Chou-Wen;Liao, Szu-Lang | - |
| dc.date (日期) | 2005-08 | en_US |
| dc.date.accessioned | 14-Nov-2008 12:12:12 (UTC+8) | - |
| dc.date.available | 14-Nov-2008 12:12:12 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Nov-2008 12:12:12 (UTC+8) | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/7413 | - |
| dc.description.abstract (摘要) | 本文介紹同時考慮國內外利率、匯率及股價四因子之下，評價美式求償權之遠期樹狀模型。不同於使用短期利率、債券價格或遠期利率建構樹狀模型，本文使用標的資產的遠期價格建構二項式或三項式之遠期價格樹狀模型。在遠期價格樹狀模型下，本文推導出隱含即期資產價格樹狀模型以評價長期美式選擇權。此外，本文亦顯示如何將遠期價格模型應用於評價股票選擇權、零息債券選擇權、外匯選擇權、國外股權買權、Quanto、可轉換公司債與海外可轉換公司債。 | - |
| dc.description.abstract (摘要) | We introduce a new methodology for pricing American-style contingent claims that could be determined by the domestic and foreign interest rates, exchange rate, and equity prices. Instead of using short-term rate, bond price or forward rate to construct trees, our method uses the forward prices of underlying assets to build binomial or trinomial forward-price trees. Based on the forward-price trees, we then derived the implied binomial or trinomial spot-price trees that can be used to price long-term American options. In particular, we show how to apply the forward-price method to price stock options, options on zero coupon bond, currency options, foreign equity call options, Quantos, convertible bonds, and Euro convertible bonds. | - |
| dc.format | application/pdf | en_US |
| dc.format.extent | 330650 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language | en | en_US |
| dc.language | en-US | en_US |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | 財務金融學刊, 13(2), 29-70 | en_US |
| dc.subject (關鍵詞) | 美式選擇權;遠期價格樹狀模型;隱含即期資產價格樹狀模型 | - |
| dc.subject (關鍵詞) | American-style Contingent Claims;Forward-price Trees;The Implied Binomial or Trinomial Spot-price Trees | - |
| dc.title (題名) | 利率、匯率及價格風險下遠期價格樹狀模型 | zh_TW |
| dc.type (資料類型) | article | en |
