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    政大機構典藏 > 商學院 > 統計學系 > 學位論文 >  Item 140.119/33890
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/33890


    Title: 隨機利率下選擇權定價與避險
    Authors: 吳庭斌
    Contributors: 陳松男
    蔡紋琦



    吳庭斌
    Keywords: 隨機利率選擇權評價
    匯率連動選擇權
    交換選擇權
    後定選擇權
    匯率連動遠期契約
    Date: 2002
    Issue Date: 2009-09-17 18:44:24 (UTC+8)
    Abstract: 本論文推導了四種隨機利率下匯率連動選擇權評價模型及其避險比率,其依序為匯率連動選擇權、匯率連動交換選擇權、後定選擇權與匯率連動遠期契約,並比較上述選擇權在隨機利率下與固定利率下評價模型與避險比率之差異。在固定利率下的評價公式與避險比率,其折現因子為固定利率,然而在隨機利率下的評價公式,是以零息債券折現,因此能反映未來利率波動。若發行券商預期未來利率有大幅波動或選擇權的到期日較長時,應使用隨機利率下的評價公式,方能得到較合理的價格。
    Reference: 1. 陳松男(1996),選擇權與期貨:衍生性商品理論與實務,新陸書局。
    2. 陳松男(2002),金融工程學:金融商品創新與選擇權理論,華泰出版。
    3. 陳松男、薛兆雯(2003),浮動匯率連動極大值選擇權,風險管理學報第五卷第一期,1-24.。
    4. 謝程熹(2002),隨機利率下歐式遠期生效選擇權之評價與避險,Journal of Financial Studies Vol.10 No.1 April 2002 (1-22)。
    5. Amin K. I., and Jarrow R. A.(1991), Pricing foreign currency options under stochastic interest rates, Journal of International Money and Finance, 10, 310-329.
    6. Damien L. and Bernard L.(1997), Introduction to Stochastic Calculus Applied to Finance, Chapman and Hall.
    7. Elliott R. J. and Kopp P. E.(1999), Mathematics of Financial Markets, Springer.
    8. Geman H., Nicole E. K., and Rochet J. C.(1995), Changes of Numeraire, Changes of Probability Measure and Option Pricing, Journal of Applied Probabilty, 32, 443-458.
    9. Reiner E.,1992, Quanto Mechanics, From Black-Scholes to Black Holes , pp.147-151,Risk Magazine Ltd .
    Description: 碩士
    國立政治大學
    統計研究所
    89354001
    91
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0089354001
    Data Type: thesis
    Appears in Collections:[統計學系] 學位論文

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