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    题名: 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
    作者: 廖志展
    Liao, Chih-Chan
    贡献者: 康榮寶
    廖四郎
    Kang, Rong-Bao
    Liao, Szu-Lang
    廖志展
    Liao, Chih-Chan
    关键词: 利率期貨選擇權
    跳躍擴散過程
    interest rate futures options
    jump-diffusion process
    日期: 2003
    上传时间: 2009-09-18 14:07:41 (UTC+8)
    摘要: 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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    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    91351003
    92
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0091351003
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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