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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/85941


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    題名: 隨機利率下外幣選擇權訂價理論與模擬
    Pricing Foreign Currency Options Under Stochastic Interest Rates
    作者: 張雅琪
    Chang, Yaa-Chi
    貢獻者: 廖四郎
    Liao, Szu-Lang
    張雅琪
    Chang, Yaa-Chi
    關鍵詞: 外幣選擇權
    隨機利率
    HJM利率模型
    平賭過程
    風險中立
    對等機率測度
    日期: 1998
    上傳時間: 2016-04-22 10:20:32 (UTC+8)
    摘要: 政府為推動台灣成為亞太金融中心，逐漸放寬許多金融管制，因此，規避匯率風險將是台灣落實金融自由化與國際化的重要課題。
    參考文獻: 1.Adam, P.D. and Wyatt S.B., 1987, "Biases in Option Prices: Evidence From Foreign Currency Markets", Journal of Banking and Finance, 11, pp.549-562.
    2. ______, 1987, "On the Pricing of European and American Foreign Currency Call Options", Journal of International Money and Finance, 6, pp.315-338.
    3.Amin, K.I. and Bodurtha J.N., 1995, "Discrete Time Valuation of American Options with Stochastic Interest Rates", The Review of Financial Studies, 8, pp.193-234.
    4.Amin, K.I. and Jarrow R.A., 1991, "Pricing Foreign Currency Options under Stochastic Interest Rates", Journal of International Money and Finance, 10, pp.310-329.
    5.Amin, K.I. and Jarrow R.A., 1992, "Pricing Options on Risky Assets in a Stochastic Interest Rate Economy", Mathematical Finance, 2, pp.217-237.
    6.Bailey, W., 1987, "An Empirical Investigation of Market for Comex Gold Futures Options", The Journal of Finance, 42, pp.1187-1194.
    7.Barone-Adesi G. and Whaley Robert E., 1987, "Efficient Analytic Approximation of American Option Values", Journal of Finance, 42, pp.301-320.
    8.Biger and Hull, 1983, "the Valuation of Currency Options", Financial Management, pp.24-28.
    9.Bodurtha J. N. and Courtadon G.R., 1987, "Tests of American Option Pricing Model on the Foreign Currency Options Market", Journal of Financial and Quantitative Analysis , 22, pp.153-167.
    10.Broadie, M. and P. Glasserman, 1997, "Pricing American-Style Securities Using Simulation", Journal of Economic Dynamics and Control, 21, pp.1323-1352.
    11.Buttler, H.J., 1989, "An Expository Note on the Valuation of Foreign Exchange Options", Journal of International Money and Finance, 8, pp.295-304.
    12.Chiang and Okunev, 1993, "An Alternative Formulation on the Pricing of Foreign Currency Options", Journal of Futures Market, 13, pp.903-907.
    13.Choi, J.J. and S. Hauser, 1990, "the Effects of Domestic and Foreign Yield Curves on the Value of Currency American Call Options", Journal of Banking and Finance, 14, pp.41-53.
    14.Derming Lieu, 1994, "Pricing Foreign Currency Options: A Comparison of the Modified Black-Scholes Model and a Modified Merton Model", Journal of Financial Studies, 2, pp.75-104.
    15.Garman, M. B. and S. T. Kohlhagen, 1983, " Foreign Currency Option Values." Journal of International Money and Finance, 2, pp.231-237.
    16.Grabbe, J.O., 1983, " The Pricing of Call and Put on Foreign Exchange", Journal of International Money and Finance, 2, pp.239-253.
    17.Harrison, J.M. and D. Kreps, 1979, "Martingales and Arbitrage in Multiperiod Securities Markets", Journal of Economic Theory, 20, pp.381-408.
    18.Health, D., R. Jarrow, and A. Morton, 1990, "Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation", Journal of Financial and Quantitative Analysis, 25, pp.419-440.
    19.______, 1990, "Contingent Claim Valuation with a Random Evolution of Interest Rates", Review of Future Markets, 9, pp.54-76.
    20.______, 1992, "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation", Econometrica, 60, pp.77-105.
    21.Hilliard, J.E., Madura J. and Tucker A.L., 1991, "Currency Option Pricing with Stochastic Domestic and Foreign Interest Rates", Journal of Financial and Quantitative Analysis, 26, pp.139-151.
    22.Liao, S.L., 1998, "Black-Scholes Model Analysis and the Development of Mathematical Financial Models", Asia-Pacific Economic and Management Review, 2, pp.97-123.
    23.Robert Geske and H.E. Johnson, 1984, "the American Put Option Valued Analytically", Journal of Finance, pp.1511-1524.
    24.Shastri, K. and K. Tandon, 1986, "On the Use of European Models to Price American Option on Foreign Currency", Journal of Future Markets, pp.93-108.
    25.______, 1986, "Valuation of Foreign Currency Option : Some Empirical Tests", Journal of Financial and Quantitative Analysis, 21, pp.145-160.
    描述: 碩士
    國立政治大學
    金融研究所
    g86352006
    資料來源: http://thesis.lib.nccu.edu.tw/record/#B2002001429
    資料類型: thesis
    顯示於類別:[金融學系] 學位論文

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