臺灣博碩士論文加值系統

傳統的選擇權理論和利率期限結構理論，在評價利率選擇權時仍有缺
點，新利率模型乃應運而生。本論文即使用Black-Derman-Toy(BDT)、
Heath-Jarrow-Morton(HJM)、以及 Ritchken-Sankarasubramanian(RS)
等人發展出之利率期限結構模型，用以評價遠東紡織 公司第六十三期公
司債所附之利率上限，並進行敏感度分析。
研究所得之結論為：三個模型所得的評價結果差異十分大，原因乃在於參
數估計值不盡理想。

在各模型的優缺點方面：

1.BDT模型的假設較簡單，但不易用試誤法求解。

2.HJM模型計算過於耗時，不具實用價值；

3.SS模型計算速度甚快，但可能發生non-reconnecting之狀況。

GRADUATE INSTITUTE OF INTERNATIONAL BUSINESS

NATIONAL TAIWAN UNIVERSITY

NAME：CHEAU-MEY, HWANG MONTH/YEAR：JUNE, 1997

ADVISER：Dr. HUNG, MAO-WEI

The Application of Interest Rate Term Structure Theory on the
Valuation of the Interest Rate Cap Embedded in Far East Textile''
s #63 Corporate Bond Traditional option pricing theories and
term structure theories have disadvantages while evaluating the
price of interest rate options. Thus, new interest rate models
rise because of demand.

This study applies three different term structure models on the
valuation of the cap embedded in Far East Textile''s #63
corporate bond, and sensitivity ana- lyses are followed. These
models include Black, Derman, and Toy (1990), Heath, Jarrow,
and Morton (1992), and Ritchken and Sankarasubramanian (1992).
The valuing results of the three model are quite different that
is because of the imperfection of estimation of parameters.
About the comparisons of the three models: 1. the BDT
model has simple assumption, but is not easy to solve using
trial-and-error method; 2. the
calculation of the HJM model is extremely time-consuming, thus
the model has only a little practical value; 3. the
calculation of the RS model is fast, but it may not form a
reconnecting interest rate lattice.