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    Title: 在跳躍擴散過程下評價利率期貨選擇權
    Pricing Interest Rate Futures Options under Jump-Diffusion Process
    Authors: 廖志展
    Liao, Chih-Chan
    Contributors: 康榮寶
    廖四郎

    Kang, Rong-Bao
    Liao, Szu-Lang

    廖志展
    Liao, Chih-Chan
    Keywords: 利率期貨選擇權
    跳躍擴散過程
    interest rate futures options
    jump-diffusion process
    Date: 2003
    Issue Date: 2009-09-18 14:07:41 (UTC+8)
    Abstract: The jump phenomenons of many financial assets prices have been observed in many empirical papers. In this paper we extend the Heath-Jarrow-Morton model to include the jump component to derive the European-style pricing formula of the interest rate futures options. We use numerical method to simulate the options prices and analyze how each component of HJM model under jump-diffusion processes affects the interest rate futures options. Finally, we utilize LSM method which are presented by Longstaff and Schwartz to derive American options prices and compare it with European options.
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    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    91351003
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0091351003
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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