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研究生:張佳沛
研究生(外文):Chang,Chia-Pai
論文名稱:在HJM模型下使用遠期定價法評價或有求償權
論文名稱(外文):Pricing Contingent Claims under HJM Model using Forward Pricing Method
指導教授:胡聯國胡聯國引用關係廖四郎廖四郎引用關係
指導教授(外文):Hu,Lien-KuoLiao,Szu-Lang
學位類別:碩士
校院名稱:國立政治大學
系所名稱:國際貿易研究所
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:英文
論文頁數:56
中文關鍵詞:HJM模型遠期定價利率期貨美式選擇權
外文關鍵詞:HJM Modelforward-risk adjustedinterest rate fututresAmerican option
相關次數:
  • 被引用被引用:0
  • 點閱點閱:253
  • 評分評分:
  • 下載下載:33
  • 收藏至我的研究室書目清單書目收藏:2
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.
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
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.
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