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研究生:盧彥顯
研究生(外文):Yean-Shing Lu
論文名稱:隨機利率與隨機匯率波動下外匯選擇權評價之研究
論文名稱(外文):Valuation of Foreign Currency Options under Stochastic Interest Rates and Volatility
指導教授:楊智烜楊智烜引用關係邢慰祖邢慰祖引用關係
指導教授(外文):Tzi-Sheng YangWey-Tzuu Shyng
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:財務管理所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:72
中文關鍵詞:隨機利率隨機波動漸進展開法外匯選擇權
外文關鍵詞:currency optionsstochastic interest ratesstochastic volatilityasymptotic expansion
相關次數:
  • 被引用被引用:12
  • 點閱點閱:915
  • 評分評分:
  • 下載下載:263
  • 收藏至我的研究室書目清單書目收藏:1
本文在風險中立之架構下,假設利率與匯率波動均為隨機過程,利用Kunitomo & Kim(2001)之漸進展開法,建構了一「函數式」的歐式外匯選擇權封閉解。雖然該「函數式」之封閉解無法直接用於實證研究,然而在假定利率與匯率波動均符合CIR(Cox, Ingersoll, Ross, 1985)類型之隨機過程後,本文進一步將其封閉解化簡為可供模擬及實證之評價模式;同時,我們發現在不同的參數值假設條件下,許多過去文獻中的外匯選擇權評價模型均成為本模型之特例;另外,經過數值模擬分析結果顯示,本模型之評價績效顯著優於固定利率與固定匯率波動之B-S(Black-Scholes)模型。
In risk neutral principal, and under stochastic interest rates and volatility of the exchange rate, we have used the Kunitomo & Kim’s (2001) asymptotic expansion method to construct a functional closed-form solution for the European foreign currency options. Although the functional closed-form solution can’t be used to empirical study, but when CIR(Cox, Ingersoll, Ross, 1985)type stochastic interest rates and volatility incorporated, then it can be simplified to be a model for simulation and empirical study. Under different parameters setup, most existing currency option models are as special cases. Numerical examples show our model is more accurate to evaluate currency options than modified B-S(Black-Scholes) model.
目 錄
中文摘要…………………………………………………………i
英文摘要…………………………………………………………ii
誌謝………………………………………………………………………iii
目錄………………………………………………………………iv
表目錄……………………………………………………………v
圖目錄……………………………………………………………vi
第壹章、緒論……………………………………………………………1
第一節 研究背景與動機…………………………………………………………1
第二節 研究目的…………………………………………………………………2
第三節 研究架構…………………………………………………………………3
第貳章、理論基礎與文獻回顧…………………………………………6
第一節 選擇權之基本理論與文獻探討…………………………………………6
第二節 外匯選擇權理論與文獻探討…………………………………………9
第參章、隨機利率與隨機匯率波動之外匯選擇權評價模型…………24
第一節 漸進展開法之函數式封閉解……………………………………………24
第二節 納入CIR型態之利率及匯率波動隨機過程……………………………31
第肆章、數值模擬分析………………………………………………36
第一節 使用模型…………………………………………………………………36
第二節 數值及參數假設…………………………………………………………37
第三節 數值模擬結果分析………………………………………………………38
第伍章、結論與建議…………………………………………………40
第一節 結論…………………………………………………………………40
第二節 建議…………………………………………………………………41
參考文獻………………………………………………………………42
附錄一…………………………………………………………………44
附錄二…………………………………………………………………59
附錄三:蒙地卡羅模擬電腦程式………………………………………62
參考文獻一、中文1.張雅琪,「隨機利率下外幣選擇權訂價理論與模擬」,民國88年7月,國立政治大學金融學系研究所未出版碩士論文。2.張岑黛,「匯率波動對外匯選擇權價格形成之影響─PHLX外匯選擇權之實證研究」,民國86年6月,長庚醫學暨工程學院管理學研究所未出版碩士論文。3.曹潔君,「隨機利率環境下外匯選擇權評價模式之實證研究」,民國86年6月,國立中央大學企業管理研究所未出版碩士論文。4.陳錦烽,「我國股票上市公司之實證研究─衍生性金融商品的使用及報導」,民國85年5月,會計研究月刊,126期,89-100。二、英文1.Amin, Kaushik, and Robert Jarrow, 1991, “Pricing Foreign Currency Options under Stochastic Interest Rates”, Journal of International Money and Finance 10, 310-329.2.Bakshi, G. S. and Z. Chen, 1997, “Equilibrium Valuation of Foreign Exchange Claims,” Journal of Finance, vol LII, NO. 2, 799-8263.Bates, D. S., 1996, “Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options,” The Review of Financial Studies 9, No. 1,69-1074.Biger, N., & Hull, J., 1983, “The valuation of currency options”, Financial Management 12, 24-285.Black, F. and M. Scholes, 1973, “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy 81, 637-6546.Bodurtha, J. N., Jr., and G. R. Courtadon, 1987, “Tests of an American Option Pricing Model on the Foreign currency Options Market, ” Journal of Financial and Quantitative Analysts 22, 153-167.7.Brenner M. and Subrahmanyam M. G., 1994, “A Simple approach to option valuation and hedging in the Black-Scholes model”, Financial Analysts Journal , March-April, 25-28.8.Chesney, M., and L. O. Scott, 1989, “Pricing European Currency Options: A Comparison of the Modified Black-Scholes Model and a Random Variance Model,” Journal of Financial and Quantitative Analysis 24, 267-2849.Cox, J., J. Ingersoll, and S. Ross, 1985, “A Theory of the Term Structure of Interest Rates”, Econometrica 53, 385-40810.Derming Lieu, 1994, “Pricing Foreign Currency Options:A Comparison of the Modified Black-Scholes Model and a Modified Merton Model”, Journal of Financial Studies 2, 75-10411.Garman, M. B., & Kohlhagen, S. W., 1983, “Foreign currency option values”, Journal of International Money and Finance 2, 231-237.12.Gesser V. and Poncet P., 1997, “Volatility patterns:theory and some evidence from the dollar-mark option market”, The Journal of Derivatives ,winter, 46-6113.Grabbe ,J. Orlin, 1983, “The Pricing of Call and Put Options on Foreign Exchange”, Journal of International Money and Finance 2, 239-253.14.Heston, S. L., 1993, “A Colsed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options,” Review of Financial Studies 6, 327-34415.Hilliard, Jimmy, Jeff Madura, and Alan Tucker, 1991, “Currency Option pricing with stochastic domestic and foreign interest rates”, Journal of Financial and Quantitative Analysis 26, 139-15216.Ikeda, N. and Watanabe, S., 1989, “ Stochastic Differential Equations and Diffusion Processes”, North-Holland, New York.17.Kunitomo N., and Kim, Y-J., 2001, “Effects of Stochastic Interest Rates and Volatility on Contingent Claims”, a revised verson of Discussion Paper CIRJE-F-67(January 2000)18.Melino, A., and S. M. Turnbull, 1990, “Pricing Foreign Currency Options with Stochastic Volatility,” Journal of Econometrics 45, 239-26519.Merton, R. C. 1976 (May), “The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns”, Journal of Finance 31, 333-35020.Poon, W. P. H. and E. H. Duett, 1994, “An Empirical Examination of Currency Futures Options Under Stochastic Interest Rates.” Lingnan College, Hong Kong, Mississippi Statue University21.Sarwar G. and Krehbiel T., 2000, “Empirical performance of alternative pricing models of currency options”, The Journal of future markets 20, No. 2, 265-29122.Scott, Elton, and Alan L. Tucker, 1989, “Predicting Currency Return Volatility”, Journal of Banking and Finance 13, 839-85123.Takahashi, A., 1999, “An Asymptotic Expansion Approach to Pricing Contingent Claims”, Asia-Pacific Financial Markets(Kluwer) 6, 115-151 24.Wasserfallen, W., and H. Zimmerman., 1986(Oct.), “The Wiener Process, Variance Measurement and Option Pricing─Evidence from Intra-Daily Data on Foreign Exchange..” Working Paper, Univ. of Bern and Hochschule St. Gallen
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