English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113318/144297 (79%)
Visitors : 51042645      Online Users : 935
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/59955
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/59955


    Title: 三因子BGM模型下匯率連動固定期利率交換商品之評價
    A valuation of quanto constant maturity swap products under the three-factor BGM model
    Authors: 楊繡碧
    Contributors: 廖四郎
    楊繡碧
    Keywords: 匯率連動固定期利率交換
    匯率連動固定期利率交換利差選擇權
    匯率連動固定期利率交換輪棘選擇權
    三因子BGM模型
    蒙地卡羅模擬法
    Date: 2010
    Issue Date: 2013-09-04 10:04:34 (UTC+8)
    Abstract: 匯率連動固定期利率交換商品可做為國外利率交換的輔助工具以提高交換利差的利潤或鎖住現行利差以管理利率風險。以往對匯率連動固定期利率交換商品的評價通常是利用蒙地卡羅模擬法來模擬進行,但這樣的評價方式通常較耗時。本文應用國外遠期交換利率近似於國外遠期LIBOR利率之線性組合的特徵來設定BGM模型下國外遠期交換利率的近似動態過程。基於國外遠期交換利率的近似動態,我們推導出三因子BGM模型下評價匯率連動固定期利率交換利差選擇權及匯率連動固定期利率交換輪棘選擇權的無套利解析公式。數值分析的結果顯示不同履約價下蒙地卡羅模擬法估計值的標準差都很小,表示其變異不大,所以用蒙地卡羅模擬法作為指標方法來比較近似公式解法計算之數值與它的差異應是可以接受的。最後,數值分析的結果亦顯示上述兩種商品在不同履約價下無套利解析公式解法對應蒙地卡羅模擬法的相對誤差都很小且無套利解析公式解法之計算效率亦優於蒙地卡羅模擬法,所以我們建議可在實務上應用近似公式解法來評價匯率連動固定期利率交換利差選擇權及匯率連動固定期利率交換輪棘選擇權兩種商品。
    Reference: Black, F. (1976). The Pricing of Commodity Contracts, Journal of Financial Economics, 3, 167-179.
    Brace, A., Gatarek, D. & Musiela, M. (1997). The Market Model of Interest Rate Dynamics. Mathematical Finance, 7, 127-155.
    Brigo, D. & Mercurio, F. (2006). Interest Rate Models: Theory and Practice. Second Edition, Springer Verlag.
    Hunt, P., & Pelsser, A. (1998). Arbitrage-Free Pricing of Quanto-Swaptions, The Journal of Financial Engineering, 7, 25-33.
    Hunter, C. J., Jackel, P. & Joshi, M. S. (2001). Drift Approximations in a Forward-rate-based LIBOR Market Model, Risk Magazine, 14, 1-10.
    Hull, J. & White, A. (1999). Forward Rate Volatilities, Swap Rate Volatilities, and the Implementation of the LIBOR Market Model, Journal of Fixed Income, 10, 46-62.
    Jamshidian, F. (1997). LIBOR and Swap Market Model and Measure, Finance and Stochastics, 1, 293-330.
    Margrabe, W. (1978). The Value of an Option to Exchange One Asset for Another. Journal of Finance, 33, 177-86.
    Musiela, M. & Rutkowski, M. (1997). Continuous-time Term Structure Models: a Forward Measure Approach. Finance and Stochastics, 1, 261-291.
    Rebonato, R. (2004). Volatility and Correlation: the Perfect Hedger and the Fox. Second Edition. John Wiley & Sons, New York.
    Liao, S. L., Lin, S. K. & Tsai, H. P. (2010). An Efficient Valuation and Hedging of Constant Maturity Swap Products under BGM Model, Journal of the Chinese Statistical Association, 48, 161-189.
    Description: 博士
    國立政治大學
    金融研究所
    93352504
    99
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093352504
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

    Files in This Item:

    File SizeFormat
    250401.pdf537KbAdobe PDF2523View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback