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Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/38415
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| Title: | SABR模型與SABR-LMM模型之實證分析
Empirical Analysis of SABR Model and SABR-LMM Model |
| Authors: | 毛迦南
Mau,Cha-Nan |
| Contributors: | 陳松男
Chen, Son-Nan
毛迦南
Mau,Cha-Nan |
| Keywords: | 波動度微笑
SABR模型
SABR-LMM模型
Volatility Smile
SABR Model
SABR-LMM Model |
| Date: | 2009 |
| Issue Date: | 2010-04-09 14:48:11 (UTC+8) |
| Abstract: | 本篇論文驗證SABR模型與SABR-LMM模型的動態設定與市場選擇權價格下標的未來價格之隱含分配是否一致，判斷準則為SABR模型與SABR-LMM模型校準出的參數是否符合市場直覺。根據實證結果答案是肯定的，所以在SABR模型與SABR-LMM模型下評價選擇權不需要再做任何的主觀判斷或調整。此外本篇論文對於SABR模型與SABR-LMM模型的參數校準方法做了詳細的分析，並且清楚的閳述SABR模型與SABR-LMM模型的模型直覺。 |
| Reference: | 中文部份
陳松男(2006)，利率金融工程學-理論模型及實務應用，新陸書局
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
陳松男(2004)，結構型金融商品之設計及創新，新陸書局
英文部份
Fabio Mercurio and Massimo Morini(2009) ‘Joining the SABR and Libor
models together’,risk
Fabio Mercurio and Nicola Moreni (2009) ‘Inflation modelling with SABR dynamics’,risk
Riccardo Rebonato, Andrey Pogudin, Richard White(2009) ‘Delta and vega hedging in the SABR and LMM-SABR models’,risk
Pierre Henry-Labordère(2007), ‘Combining the SABR and LMM models’ ,risk
Riccardo Rebonato(2007), ‘A time-homogeneous, SABR-consistent extension of the LMM’ ,risk
Hagan,P.,Kumar,D.,Lesniewski,A.and Woodward,D.(2002) ‘MANAGING SMILE RISK’,Wilmott Magazine
Riccardo Rebonato and Richard White(2009) ‘Linking caplets and swaptions prices in the LMM-SABR model’ journal of computational finance
Pogudin,A.(2008) ‘Theoretical and practice aspects of heging within SABR and LMM-SABR models’M.Sc.in Mathmatical Finance,Oxford university
Wu L and F Zhang(2006) Libor market model with stochastic Journal of Industrial and Management |
| Description: | 碩士
國立政治大學
金融研究所
95352030
98 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0095352030 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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