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研究生:劉權興
研究生(外文):Chuan-Hsing Liu
論文名稱:信用價差選擇權之評價
論文名稱(外文):The Pricing of Credit Spread Option
指導教授:張焯然張焯然引用關係
指導教授(外文):Jow-Ran Chang
學位類別:碩士
校院名稱:國立清華大學
系所名稱:科技管理研究所
學門:商業及管理學門
學類:其他商業及管理學類
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
論文頁數:40
中文關鍵詞:信用風險信用價差
外文關鍵詞:creidit riskcredit spread
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  • 點閱點閱:107
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  • 收藏至我的研究室書目清單書目收藏:0
在全球愈來愈開放的市場下,可供投資人選擇的投資管道變多,當然所必須承擔的風險也變得愈來愈大,其中信用風險所佔的比重更是逐年增加,也使得信用衍生商品在金融市場上扮演的角色也愈顯重要。這篇論文主要就是提供信用商品之一的信用價差選擇權,一個一般化的評價公式,只要給定的變數服從AJD的模型,我們可以求得一個只需求算傅利葉積分的評價公式,這樣的結果大大地降低了使用數值評價方法所需大量的計算時間,提供一個簡單且容易使用的封閉解。文章中也試著推導一個不考慮跳動的CIR模型,求得在此特例下CSP的評價公式,並透過比較靜態分析後發現,利率對CSP的影響相較於違約強度而言並不顯著;而其它參數的影響則以執行價差的效果來得最大。
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