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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/33995


    Title: LIBOR新奇選擇權之評價─以最小平方蒙地卡羅法為例
    Authors: 蔡宗儒
    Contributors: 陳松男
    蔡宗儒
    Keywords: 市場模型
    最小平方蒙地卡羅法
    Date: 2005
    Issue Date: 2009-09-17 19:03:05 (UTC+8)
    Abstract: 利率模型從早期的短期利率模型、遠期利率模型發展到現今的主流－市場模型（Libor Market Model），概念上，已經將利率假設從瞬間連續修正到區間連續，使描述出來的利率行為，更能符合市場。
    而評價方式的進步，帶動市場上出現越來越複雜的商品，尤其以「提前條款」的附加最為普遍。「提早履約」讓投資人多了選擇的空間；「提前贖回」則降低商品權利金。所以市場普遍用提前條款來吸引投資人購買，尤其在利率衍生性商品的設計，提前贖回的條款往往伴隨著高配息而來。
    本文選用「百慕達式利率交換選擇權」與「六年期可贖回完美曲線每日計息票券」作為個案分析，來達成在市場模型之下，具提前條款商品的評價正確性。


    關鍵字：市場模型、最小平方蒙地卡羅法
    Reference: 中文部分：
    王祥帆，百慕達式利率交換選擇權，政大金融研究所碩士論文（2005年）
    陳松男，利率金融工程學，新陸書局（2006年）
    張嘉云，結構型商品之評價與分析－以美元區間保本票券及信用連結暨通貨膨脹連動票券為例，政大金融研究所碩士論文（2005年）
    莊筑豐，連動式債券設計個案研究－固定期交換利率利差連動與信用連結債券，政大金融研究所碩士論文（2005年）
    英文部分：
    Andersen, L.，1999/2000，”A Simple Approach to the Pricing of Bermudan Swaptions in the Multifactor LIBOR Market Model”， Journal of Computational Finance, Volume 3/Number 2 , Winter 1999/2000, 5-32
    Andersen, L. and J. Andreasen，2000，”Volatility Skews and Extensions of the Libor Market Model”，Applied Mathematical Finance 7, 1-32（2000）
    Brace, A. , D. Gatarek and M. Musiela，1997，”The Market Model of Interest Rate Dynamics”，Mathematical Finance, Vol. 7, No. 2（April 1997）, 127-155
    Brigo, D. and F. Mercurio，2001，Interest Rate Models：Theory and Practice，New York：Springer-Verlag
    Brigo, D. and F. Mercurio，2000，”A Mixed-up Smile”，Risk, September 2000, 123-126
    Glasserman, P. and X. Zhao，1999，”Fast Greeks by Simulation in Forward LIBOR Models”，Journal of Computational Finance, Volume 3/Number 1, Fall 1999
    Hagan, P. S. , D. Kumar, A. S. Lesniewski, and D. E. Woodward，”Managing Smile Risk”，Working paper
    Hull, J. and A. White，2000，”Forward Rate Volatilities, Swap Rate Volatilities, and Implementation of the LIBOR Market Model”，the Journal of Fixed Income, September 2000 , 46-62
    Jensen, M. S. and M. Svenstrup，2005，”Efficient Control Variates and Strategies for Bermudan Swaptions in a LIBOR Market Model”， The Journal of Derivatives, Summer 2005，20-33
    Kawai, A.，2002，”Analytical and Mote Carlo Swaption Pricing under the Forward Swap Measure”，Journal of Computational Finance, Volume 6/Number 1, Fall 2002, 101-111
    Longstaff, F. A. and E. S. Schwartz，2001，”Valuing American Options by Simulation：a Simple Least-Square Approach”，The Reviews of Financial Studies, Vol. 14, No. 1, Spring 2001, 113-147
    Pedersen, M. B.，1999，”Bermudan Swaptions in the LIBOR Market Model”，Working paper
    Piterbarg, V. V. ，2003，”A Practitioner’s Guide to Pricing and Hedging Callable Exotics in Forward LIBOR Models”，Working paper
    Piterbarg, V. V.，2004，”Computing Deltas of Callable Libor Exotic in Forward Libor Models”， Journal of Computational Finance, Volume 7/Number 3, Spring 2004, 107-144
    Weigel, P. ，2004，”Optimal Calibration of LIBOR Market Models to Correlations”， The Journal of Derivatives, Winter 2004, 43-50
    Zhou, F. ，2003，”Black Smirks”，Risk, May 2003, 87-91
    Description: 碩士
    國立政治大學
    金融研究所
    93352022
    94
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093352022
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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