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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/31189


    Title: 波動度與中國結構型商品之分析
    Authors: 高宜群
    Contributors: 陳松男
    高宜群
    Keywords: 結構型商品
    蒙地卡羅模擬法
    交換率
    SABR模型
    BLACK模型
    Date: 2008
    Issue Date: 2009-09-14 09:30:06 (UTC+8)
    Abstract: 本文分為兩部分，首先針對中國結構型商品作分析，接著對交換率之波動度作研究。中國結構型商品方面，選定中國大陸招商銀行所發行金葵花寶礦掘金理財產品作介紹，並針對其產品條款進行評價，最後作敏感度分析。由於此產品連結五檔標的股票，且產品條款中含有多重新奇選擇權特性，包含多因子選擇權、履約價平均式選擇權、界限選擇權、數據選擇權，因此沒有封閉解，所以在假設所連結標的股票價格為對數常態分配下，選擇蒙地卡羅模擬法(Monte Carlo Simulation)進行評價。交換率(Swap Rate)之波動度方面，利用Fabio Mercurio與Andrea Pallavicini所發表文章中提出的一套波動度校正方法，根據Hagan等人在2002年文章提出的SABR模型(SABR Model)，從利率交換選擇權的波動度之市場報價與固定期利率交換的價差之市場報價，校正出市場與非市場報價的利率交換選擇權的交換率之波動度，接著估計出固定期交換率之凸性調整項(Convexity Adjustment, CA)，進而求算出固定期利率交換之價差的模型價格，並與利用Black模型(Black Model)所進行的波動度校正方法作比較。
    Reference: 中文部分
    1.　陳松男 (2004)，結構型金融商品之設計及創新，新陸書局
    2.　陳松男 (2005)，結構型金融商品之設計及創新(二)，新陸書局
    3.　陳松男 (2005)，金融工程學(二版)¬¬－金融商品創新與選擇權
    理論，新陸書局
    4.　陳松男 (2006)，利率金融工程學－理論模型及實務應用，新陸
    　　　　　　　　　 書局
    5.　陳威光 (2001)，選擇權－理論、實務與應用，智勝文化
    英文部分
    1.　Berrahoui, M. (2005) “Pricing CMS Spread Options and
    Digital CMS Spread Optionswith Smile”, In The best of
    Wilmott 2, Wiley
    2.　Black, F. (1976) “The pricing of commodity
    contracts”, Journal of Financial Economics 3, P167-179.
    3.　Errais, E., Mauri, G., and Mercurio, F. (2004)
    “Capturing the Skew in Interest Rate Derivatives: A
    Shifted Lognormal LIBOR Model with Uncertain
    Parameters”,Working Paper, available at
    www.fabiomercurio.it/sllmup.pdf
    3.　Hagan, P.S. (2003) “Convexity Conundrums: Pricing CMS
    Swaps, Caps, and Floors”, Wilmott magazine, March,
    P38-44
    4.　Hagan, P.S., Kumar, D., Lesniewski, A.S., Woodward,
    D.E. (2002) “Managing Smile Risk”, Wilmott magazine,
    September, P84-108.
    5.　Henry-Labordere, P. (2006) “Unifying the BGM and SABR
    Models: a Short Ride in Hyperbolic Geometry”,
    available at ssrn.com/abstract=877762
    6.　Lee, R.W. (2004) “The Moment Formula for Implied
    Volatility at Extreme Strikes”, Mathematical Finance
    14(3), P469-480.
    7.　Mercurio, F. and Pallavicini, A. (2005) “Swaption
    Skews and Convexity Adjustments”, Working Paper,
    available at www.fabiomercurio.it/sabrcms.pdf
    8.　Pelsser, A. (2003) “Mathematical Foundation of
    Convexity Correction”, Quantitative Finance 3, P59-65
    9.　Piterbarg, V. (2003) “A Stochastic Volatility Forward
    LIBOR Model with a Term Structure of Volatility
    Smiles”, Working Paper, Bank of America.
    Description: 碩士
    國立政治大學
    金融研究所
    95352002
    97
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0095352002
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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