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    政大機構典藏 > 商學院 > 企業管理學系 > 學位論文 >  Item 140.119/86947
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/86947


    Title: 台灣貨幣市場利率隨機動態轉移特性之研究
    Authors: 柯雅玲
    Contributors: 林炯垚
    柯雅玲
    Keywords: 貨幣市場
    利率隨機動態轉移
    Date: 1996
    Issue Date: 2016-04-28 09:01:27 (UTC+8)
    Abstract: 近年來,由於Black-Scholes選擇權評價模式的發展,利用套利定價理論來研究利率期限結構和利率性或有請求權定價的文獻有增多的趨勢,而學者們建構利率期限結構模型的方法是由瞬間即時利率遵守某些隨機過程開始,然後推導出在風險中立的情況下,此一波動過程所演變而成的債券價格。例如Cox,Ingersoll and Ross(l985)發表的一般均衡模型,以及Longstaff and Schwartz(1992)根據Cox,Ingersoll and Ross(1985a,b)的單因子模型,再加上即期利率的變異性,而導出一雙因子模型。
    Description: 碩士
    國立政治大學
    企業管理學系
    84355007
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002002284
    Data Type: thesis
    Appears in Collections:[企業管理學系] 學位論文

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