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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/34018
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/34018


    Title: 百慕達式利率交換選擇權
    Authors: 王祥帆
    Wang, Hsiang-Fan
    Contributors: 江彌修
    Chiang, Mi-Hsiu
    王祥帆
    Wang, Hsiang-Fan
    Keywords: 百慕達式利率交換選擇權
    Bermudan Swaption
    Date: 2004
    Issue Date: 2009-09-17 19:06:31 (UTC+8)
    Abstract: 摘要
    許多公司在發行可贖回公司債時(Callable Bond),為了規避利率變動的風險因此簽訂利率交換(IRS)契約,此外,考慮到提前贖回的可能性,更進一步承做利率交換選擇權(Swaption),在利率交換選擇權的部分,一般又會配合特定贖回時點而設計,因此可以視為百慕達式的利率交換選擇權(Bermudan Swaption)。大致而言,百慕達式利率交換選擇權(Bermudan Swaption)可以分為兩類,一類是不論履約時點為何均固定交換期間長度的選擇權,又可稱為Constant Maturity Bermudan Swaption,另一類則是固定商品到期日,即選擇權到期期間與利率交換期間相加為固定常數,換言之,越晚做提前履約的動作,則利率交換的期間也相對便短。
    至於在評價部分,百慕達式或美式這些具有提前履約特性的選擇權其封閉解並不存在,因此需要利用到其他的近似解或是數值方法來幫助我們評價。由於本文採用BGM(1997)的市場利率模型(Libor Market Model),在其高維度的特性下,樹狀方法以及有限差分法並不適用,因此本文選擇使用蒙地卡羅法來幫助我們評價,同時採用Longstaff and Schwartz (2001)的最小平方蒙地卡羅法(Least Squares Monte Carlo Method)來解決傳統蒙地卡羅法無法處理提前履約的困擾。
    最後,本文將利用BGM(1997)的利率模型配合Longstaff and Schwartz (2001)的方法實際評價三種商品,包含了上述兩種不同類型的百慕達式利率交換選擇權(Bermudan Swaption),再加上由中信金所發行的利率交換選擇權(Swaption),並探討歐式與百慕達式商品價格之差異。
    Reference: 參考文獻
    1. Alpsten, H., 2003, “Pricing Bermudan swap options using the BGM model with arbitrage – free discretisation and boundary based option exercise”, Working paper, Department of Mathematics Royal Institute of Technology.
    2. Amin, A., 2001, “Pricing Bermudan Fixed Income Derivatives in Multi – Factor Extended LIBOR Market Model”, Working paper, http://www.geocities.com/anan2999/.
    3. Andersen, L., 2000, “A Simple Approach to the Pricing of Bermudan Swaptions in the Multi – Factor Libor Market Model”, Journal of Computational Finance 3(2), 1-32.
    4. Brace, A., D. Gatarek, and M. Musiela, 1997, “The Market Model of Interest Rate Dynamics.”, Mathematical Finance 7(2), 127-155.
    5. Brigo, D., and F. Mercurio, 2001, “Interest Rate Models Theory and Practice.”, Springer.
    6. Broadie, M., and P. Glasserman, 1997, “A Stochastic Mesh Method for Pricing High- Dimensional American Options.” Working paper, Columbia University.
    7. Carr, P. and G. Yang, 1997, “Simulating Bermudan Interest Rate Derivatives”, Working paper, Courant Institute at New York University.
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    10. Flavell, R., 2002, “Swaps and Other Derivatives.”, Published by John Wiley & Sons, Ltd.
    11. Heath, D., R. Jarrow, and A. Morton, 1992, “Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claim Valuation.”, Econometrica 60(1), 77-105.
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    16. Hull, J., and A. White, 1996, “Using Hull-White Interest Rate Trees.”, The Journal of Derivatives Spring, 26-36.
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    18. London, J., 2005, “Modeling Derivatives in C++”, Published by John Wiley & Sons, Ltd..
    19. Longstaff, F. A., and E. S. Schwartz, 2001, “Valuing American Potions by Simulation: A Simple Least – Squares Approach”, The Review of Financial Studies 14(1), 113-147.
    20. Moreno, M., and J. F. Navas, 2001, “On the Robustness of Least – Squares Monte Carlo (LSM) for Pricing American Derivatives”, Pompeu Fabra University, Appril, Preprint.
    21. Munk, C., 2003, “Fixed Income Analysis: Securities, Pricing, and Risk Management.” University of Southern Demark Dept. of Accounting and Finance.
    22. Pedersen, M. B, 1999, “Bermudan Swaptions in the LIBOR Market Model”, Financial Research Department, Preprint.
    23. Pietersz, R. and A. Pelsser, 2003, “Risk Managing Bermudan Swaptions in the LIBOR BGM Model”, Preprint.
    24. Rebonato, R., 2002, “Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond.”, Published by Princeton University Press.
    25. Svoboda, S., 2004, “Interest Rate Modelling”, Published by Palgrave Macmillan.
    26. Tavella, D., 2002, “Quantitative Methods in Derivatives Pricing: An Introduction to Computational Finance”, Published by John Wiley & Sons, Ltd.
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    Description: 碩士
    國立政治大學
    金融研究所
    92352005
    93
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0923520051
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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