政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/35146
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/35146


    Title: 在HJM模型下使用遠期定價法評價或有求償權
    Pricing Contingent Claims under HJM Model using Forward Pricing Method
    Authors: 張佳沛
    Chang,Chia-Pai
    Contributors: 胡聯國
    廖四郎
    Hu,Lien-Kuo
    Liao,Szu-Lang
    張佳沛
    Chang,Chia-Pai
    Keywords: HJM模型
    遠期定價
    利率期貨
    美式選擇權
    HJM Model
    forward-risk adjusted
    interest rate fututres
    American option
    Date: 2003
    Issue Date: 2009-09-18 14:16:26 (UTC+8)
    Abstract: 我們使用一個新方法來評價美式或歐式的或有求償權，其受到本地利率和權益價值的影響。我們使用標的資產的遠期價格的樹狀圖，進而對或有求償權作定價。其中我們評價了美式與歐式的股票選擇權，以及利率期貨和利率期貨選擇權。
    We introduce a methodology for pricing American or European style contingent claims, influenced by domestic interest rates, and equity prices. Instead of using trees of short-term interest rate, bond price or forward interest rate, this tree method will use the forward prices of underlying assets to derive implied binomial spot-price tree and in turn price long term American or European options, and interest rate futures and interest rate futures options.
    Reference: Amin. K., and J. Bodurtha, 1995, “Discrete Time Valuation of American Options with Stochastic Interest Rates,” Review of Financial Studies, 8, 193-234.
    Cakici Nusert and Jintao Zhu, 2001, “Pricing Eurodollar Futures Options with the Heath-Jarrow-Morton Model,” The Journal of Futures Markets, Vol. 21, No. 7, 655-680
    Cox, J. C., S. A. Ross, and M. Rubinstein, 1979,”Option Pricing: A Simplified Approach,” Journal of financial Economics, 7, 229-263
    Das, S. R. 1999, “A Direct Discrete-Time Approach to Possion-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model,” Journal of Economic Dynamics& Control, 23, 333-369
    Frechette Darren L., 2001, ”The Demand for Hedging with Futures and Options,” The Journal of Futures Markets, Vol. 21, No. 8, 693-712.
    Geman, H., 1989, “The Importance of the Forward neutral Probability in a Stochastic Approach of Interest Rates,” working paper, ESSEC.
    Geman, H., N. E. Karoui, and J. C. Rochet., 1995, “Change of Numeraire, Changes of Probability Measures and Pricing of Options,” Journal of Applied probability, 32, 443-458
    Heath, D, C., R. A. Jarrow, and A. J. Morton, 1990, “Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation,” Journal of Financial and Quantitative Analysis, 25, 419-440.
    Heath, D, C., R. A. Jarrow, and A. J. Morton, 1992, “Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation,” Econometrica, Vol. 60, No. 1, 77-105.
    Ho, T. S. Y., and S. B. Lee, 1986, “Term Structure Movements and Pricing of Interest Rate Claims,” Journal of Finance, 41, 1011-1029.
    Hull. J, and A. White, 1994a, “Numerical Procedures for Implementing Term Structure Model: Single-Factor Models,” The Journal of Derivatives, Fall, 7-16.
    Hull, J. and A. White, 1996, “Using Hull-White Interest Rate Trees,” The Journal of Derivatives, 3(3), 26-36.
    John J. and Merrick, JR., 2000, ”Pascal Spreading of Short-Term Interest Rate Contracts,” The Journal of Futures Markets, Vol.20, No.10, 889-910.
    Kavussanos Manolis G. and Nikos K. Nomikos, 2000,”Futures Hedging when the Structure of the Underlying Asset Changes: The Case of the BIFFEX Contract” Journal of Futures Markets, Vol.20, No.8, 775-801.
    Menkveld, B. and T. Vorst, 2000, “A Pricing Model for American Options with Gaussian Interest Rates,” Annals of Operations Research, 100(1), 211-226
    Pedro Santa-Clara and Didier Sornette, 2001,“The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks,” The Review of Financial Studies Spring Vol. 14, No.1, 149-185.
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    91351035
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0913510351
    Data Type: thesis
    Appears in Collections:[Department of International Business] Theses

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