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    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。
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    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:[Department of Money and Banking] Theses

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