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研究生:葉煥文
研究生(外文):Yeh Huan-Wen
論文名稱:臺灣公債期貨及隱含交割品質選擇權之評價
論文名稱(外文):Valuing Taiwanese Government Bond Futures with an Embedded Quality Option
指導教授:林丙輝林丙輝引用關係葉仕國葉仕國引用關係
學位類別:碩士
校院名稱:國立中興大學
系所名稱:財務金融研究所
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:2004
畢業學年度:92
語文別:中文
中文關鍵詞:Hull-White模型公債期貨品質選擇權
外文關鍵詞:Hull-White ModelT-Bond FuturesQuality Option
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臺灣自2004年1月2日開始公債期貨契約的交易,本文針對臺灣10年期公債期貨契約隱含之交割品質選擇權進行評價,透過國內債券交易的資訊以及數值方法的使用,本研究整理出相關研究期間所需要的債券殖利率曲線,並進而以所謂的二因子Hull-White模型進行評價工作。若不考慮相關市場條件限制的話,本研究所評估的國內品質選擇權之價值相當顯著。
T-bond futures contract has been listed on Taiwan Futures Exchange since January 2nd, 2004. This paper explains the valuing of the quality option embedded in the T-bond futures contract which any government bond with a maturity less than 11 years can be delivered. We collect the prices of coupon-bearing bonds transacted in the bond market. Then we use some numerical procedures to obtain a complete term structure relevant with our research period. In the paper, we employ the two-factor Hull-White model for pricing the quality option. The results show that this option can have nontrivial value if we ignore some microstructure conditions existed in Taiwan market.
第壹章 緒論 1
第一節 研究背景 1
第二節 研究動機及目的 3
第三節 研究內容架構 4
第貳章 公債期貨契約及交割制度 5
第一節 交割選擇權 5
第二節 臺灣公債期貨契約及交割制度介紹 7
第參章 文獻回顧 11
第一節 公債期貨及交割品質選擇權文獻回顧 11
第二節 利率期限結構文獻回顧 15
第肆章 研究方法 19
第一節 利率期限結構之估計 20
第二節 Hull-White二因子模型 21
第三節 以Hull-White二因子模型計算公債期貨價格及交割品質選擇權價值 26
第伍章 研究結果 30
第一節 研究期間與資料來源 30
第二節 利率期限結構估計結果 30
第三節 Hull-White二因子模型參數估計結果 31
第四節 臺灣公債期貨價格及交割品質選擇權估計結果 32
第五節 模型敏感度分析 36
第陸章 結論與建議 38
附錄一 40
參考文獻 42
一、中文部分
1. 葉仕國,「整合型利率期限結構之實證研究」(1997),臺灣大學商學研究所博士論文。
二、英文部分
1. Barnhill, T.M., and W.E. Seale, (1988), “Optimal Exercise of the Switching Option in Treasury Bond Arbitrages,” Journal of Futures Markets, Vol.8, pp.517-532.
2. Black, F., E. Derman, and W. Toy(1990),“A one-Factor Model of Interest Rates and Its Application to Treasury Bond Options,” Financial Analyst Journal, pp.33-39.
3. Black, F. and P. Karasinski(1991), “Bond and Option Pricing When Short Rates Are Lognormal, Financial Analyst Journal, Vol.47, pp.52-59.
4. Boyle, P., (1989), “The Quality Option and Timing Option in Futures Contcracts,” Journal of Finance, Vol.44, pp.101-113.
5. Brennan, M. and E. Schwartz(1982), “An Equilibrium Model of Bond Pricing and A Test of Market Efficiency,” Journal of Financial and Quantitative Analysis, Vol.13, pp.301-329.
6. Carr, P.P. and R.R. Chen(1996), “Valuing Bond Futures and the Quality Option,” Working Paper, UCLA.
7. Chance, D.M. and M.L., Hemler(1993), “The Impact of Delivery Options on Futures Prices: A Survey,” Journal of Futures Markets, Vol. 13, pp.127-155.
8. Chen. R.R.(1997), “Analytical Bounds For Treasury Bond Futures Prices,” Working Paper, Rutgers University.
9. Chen. R.R.(1995), Understanding and Manage Interest Rate Risk, 1996, World Scientific.
10. Cox, J., J. Ingersoll, and S. Ross(1985a), “An Intertemporal Ceneral Equilibrium Model of Asset Prices,” Econometrica, Vol. 53, pp.363-384.
11. Cox, J., J. Ingersoll, and S. Ross(1985b), “A Theory of The Term Structure of Interest Rates,” Econometrica, Vol. 53, pp.363-384.
12. Heath, D., R. A. Jarrow and A. Merton(1992), “Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation,” Econometrica, Vol.60, pp.77-105.
13. Hemler, M. L.(1990), “The Quality Delivery Option in Treasury Bond Futures Contracts,” Journal of Finance, Vol. 45, pp. 1565-1586.
14. Ho, T.S.Y. and S.B., Lee(1986), “Term Structure Movements and Pricing of Interest Rate Claims,” Journal of Finance, Vol. 41, 1011-1029.
15. Hull, J. and A. White(1990), “Valuing Derivative Securities Using the Explicit Finite Difference Method,” Journal of Financial and Quantitative Analysis, Vol.25, pp.87-100.
16. Hull, J. and A. White(1994a), “Numerical Procedures for Implementing Term Struvture Models Ι: Single Factor Models,” Journal of Derivatives, Vol.2, pp.7-16.
17. Hull, J. and A. White(1994b), “Numerical Procedures for Implementing Term Struvture Models : Two Factors Models,” Journal of Derivatives, Vol.3, pp.26-35.
18. Jagannathan, R., Kaplin, A. and Sun, S.(2003), “An Evaluation of Multi-Factor CIR Model Using Libor, Swap Rates and Cap and Swaption Prices,” Journal of Econometrics, Vol. 116, pp.113-146.
19. Kane, A. and A.J. Marcus,(1984) Conversion Factor Risk and Hedging in the Treasury Bond Futures Market, Journal of Futures Market, Vol. 4. pp.55-64.
20. Lin, B.H. and D.A. Paxson(1993), “Valuing the New-Issue Quality Option in Bond Futures,” Review of Futures Markets, Vol.12, pp.347-388.
21. Lin, B.H. and D.A. Paxson(1995), “Term Structure Volatility and Bond Futures Embedded Options,” Journal of Business Finance and Accounting, Vol.22, pp.347-388.
22. Lin, B.H., R.R. Chen and J.H. Chou(1999), “Pricing and Quality Option in Japanese Government Bond Futures,” Applied Financial Economics, Vol. 9, pp. 51-65.
23. Longstaff, F.(1989), “A Non-Linear General Equilibrium Model of the Term Structure of Interest Rates,” Journal of Financial Economics, Vol.23, pp.195-224.
24. Macaulay, F.R.(1938), “The Movement of Interest Rates, Bonds, Yields and Stock Prices in the United States since 1856,” Columbia University press.
25. Nielsen, S.S. and E.I. Ronn(1998),”A Two-Factor Model for the Valuation of the T-Bond Futures Contract’s Quality and Timing Options,” Working Paper, University of Texas at Austin.
26. Nunes, J.P. and L.A. Ferreira(2003), “Quasi-Analytical Multi-Factor Valuation of Treasury Bond Futures with An Embedded Quality Option,” Working Paper, Anibal Bettencourt University.
27. Ritchken, P. and L. Sankarasubramanian(1992), “Pricing the Quality Option in Treasury Bond Futures,” Mathematical Finance, Vol.2, pp.197-214.
28. Ritchken, P. and L. Sankarasubramanian(1995), “A Multifactor Model of the Quality Option in Treasury Futures Contracts,” Journal of financial Research, Vol.18, pp.261-279.
29. Strickland, C.(1992), “The Delivery Option in Bond Futures Contracts: An Empirical Analysis of the LIFFE Long Cilt Futures Contract,” Review of Futures Markets, Vol. 11, pp.84-102.
30. Vasicek, O. A.(1977), “An Equilibrium Characterization of the Term Structure,” Journal of Financial Economics, Vol. 5, pp.177-188.
31. Yu, S. W.(1995), “The Impact of Delivery Options on Hedging with Bond Futures,” PhD thesis, University of Birmingham.
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