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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/31159
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/31159


    Title: 平均利率上限選擇權之評價-LIBOR Market Model
    Authors: 謝震洋
    Contributors: 陳威光
    江彌修



    謝震洋
    Keywords: 平均利率上限選擇權
    亞式選擇權
    市場模型
    二元樹
    Average rate Cap
    Asian Option
    LIBOR Market Model
    Binomial Tree
    Date: 2003
    Issue Date: 2009-09-14 09:27:05 (UTC+8)
    Abstract: 爲規避利率上升風險,市場上有很多避險工具,諸如遠期利率協定、利率交換、我國期交所於2004年1月2日所推出的債券期貨(或稱利率期貨)、歐元期貨契約。本論文所要探討的是平均利率上限選擇權之評價,使用的方法是建構Forward LIBOR Tree之利率樹,再使用Timothy. R. Klassen(2001)評價亞式選擇權的方法來評價平均利率上限選擇權。
    Reference: 1.陳威光 “選擇權理論實務與應用”
    2.陳松男 “金融工程學:金融商品創新選擇權理論”
    3.楊振海(2000) “平均利率上限契約之評價與應用”
    4.陳兆維(2001)”利率波動結構對標準與平均利率上限契約評價的影響”
    5.方姿云(2002)” 市場模型於歐洲美元期貨選擇權之評價”
    6.Brace,A.,Gatarek,D.,Musiela,M.(1997) “The market model of interst rate dy-
    namics.”, Math.Finance 7,127-154.
    7.Hull , J., and A. White.(1993) “Efficient Procedures for Valuing European and American Path-Dependent Derivatives.” Journal of Derivatives
    8.Jamshidian,F.(1997) “Libor and swap market models and measures.”, Finance
    Stochastics
    9.Longstaff, F.A. (1995), “Hedging Interest Rate Risk with Options on Average Interest Rates”, Journal of Fixed Income(March), P.37-45.
    10.Ricardo Rebonato “Modern Pricing of Interest-Rate Derivatives-THE LIBOR MARKET MODEL AND BEYOND”
    11.Tadashi Uratani and Makoto Utsunomiya “Lattice calculation for forward LIBOR model” 1998
    12. Timothy. R. Klassen(2001) “Simple,fast,and flexible pricing of Asian options”,Journal of Computational Finance
    13.Vasicek, T.(1977), “An Equilibrium Characterization of the Term Structure”, Journal of Financial Economics, P.179-193.
    14.Vorst, T.(1992), “Prices and Hedge Ratios of Average Exchange Rate Options”, International Review of Financial Analysis, P.179-193.
    Description: 碩士
    國立政治大學
    金融研究所
    91352018
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0091352018
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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