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研究生:劉芳儀
研究生(外文):Liu,Fang-Yi
論文名稱:多因子利率模型於選擇權評價上的應用
指導教授:周若珍周若珍引用關係
學位類別:碩士
校院名稱:國立清華大學
系所名稱:統計學研究所
學門:數學及統計學門
學類:統計學類
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:41
中文關鍵詞:多因子利率模型狀態空間型式
外文關鍵詞:Kalman FilterCIRVasicek
相關次數:
  • 被引用被引用:5
  • 點閱點閱:218
  • 評分評分:
  • 下載下載:45
  • 收藏至我的研究室書目清單書目收藏:0
過程廣泛應用在金融產品的評價後,無論是商品訂價或相關避險比例的計算,皆與利率模型息息相關。故以隨機過程理論為基礎發展出來的利率模型,在財務工程領域上佔有一席之地。
Chen and Scott(1995)提出的方法,用Kalman Filter分別估計出多因子CIR、多因子Vasicek利率模型的參數,並比較兩模型對美國國庫券殖利率的預測效果。此外,將多因子CIR模型配合GARCH選擇權評價模型,導引出新的GARCH-CIR隨機利率選擇權評價模型,藉由蒙地卡羅模擬法對S&P500歐式買權訂價,並與現存其他模型相比較。
第1章 緒論 1
第2章 文獻回顧 6
2.1 利率模型 6
2.1.1 CIR模型 6
2.1.2 Vasicek模型 9
2.2 選擇權評價模型 10
2.2.1 B-S模型 10
2.2.2 GARCH模型 13
2.2.3 GARCH-SIR模型 15
第3章 多因子利率模型之參數估計 17
3.1 Kalman Filter法 17
3.2 多因子利率模型之狀態空間型式 20
3.3 參數估計結果 23
第4章 選擇權評價模型之實研究 28
第5章 結論 31
參考文獻 33
附錄一 36
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25 Nath,P.(1998):”Multi-Factor Cox-Ingersoll-Ross Models of the Term Structure:Estimates and Tests from a Kalman Filter Model with UK Gilt Market Data,” Working Paper.
26 Pearson,N.D. and Sun,T.S(1994):”Exploiting the Conditional Density in Estimating the Term Structure:An Application to the Cox,Ingersoll and Ross Model,” Journal of Finance,49,1279-1304.
27 Rabinovitch,R.(1989):”Pricing Stock and Bond Options when Default-Rate is Stochastic,” Journal of Financial and Quantitative Analysis,24,447-457.
28 Vasicek,O.(1977):”An Equilibrium Characterization of the Term Structure,” Journal of Financial Economics,5,177-188.
29 王家偉(2002):”隨機利率模型對於選擇權定價之影響”,國立清華大學統計學研究所碩士論文
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