政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/35146

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/35146

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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 學位論文 > Item 140.119/35146

请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/35146

题名:	在HJM模型下使用遠期定價法評價或有求償權 Pricing Contingent Claims under HJM Model using Forward Pricing Method
作者:	張佳沛 Chang,Chia-Pai
贡献者:	胡聯國廖四郎 Hu,Lien-Kuo Liao,Szu-Lang 張佳沛 Chang,Chia-Pai
关键词:	HJM模型遠期定價利率期貨美式選擇權 HJM Model forward-risk adjusted interest rate fututres American option
日期:	2003
上传时间:	2009-09-18 14:16:26 (UTC+8)
摘要:	我們使用一個新方法來評價美式或歐式的或有求償權，其受到本地利率和權益價值的影響。我們使用標的資產的遠期價格的樹狀圖，進而對或有求償權作定價。其中我們評價了美式與歐式的股票選擇權，以及利率期貨和利率期貨選擇權。 We introduce a methodology for pricing American or European style contingent claims, influenced by domestic interest rates, and equity prices. Instead of using trees of short-term interest rate, bond price or forward interest rate, this tree method will use the forward prices of underlying assets to derive implied binomial spot-price tree and in turn price long term American or European options, and interest rate futures and interest rate futures options.
參考文獻:	Amin. K., and J. Bodurtha, 1995, “Discrete Time Valuation of American Options with Stochastic Interest Rates,” Review of Financial Studies, 8, 193-234. Cakici Nusert and Jintao Zhu, 2001, “Pricing Eurodollar Futures Options with the Heath-Jarrow-Morton Model,” The Journal of Futures Markets, Vol. 21, No. 7, 655-680 Cox, J. C., S. A. Ross, and M. Rubinstein, 1979,”Option Pricing: A Simplified Approach,” Journal of financial Economics, 7, 229-263 Das, S. R. 1999, “A Direct Discrete-Time Approach to Possion-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model,” Journal of Economic Dynamics& Control, 23, 333-369 Frechette Darren L., 2001, ”The Demand for Hedging with Futures and Options,” The Journal of Futures Markets, Vol. 21, No. 8, 693-712. Geman, H., 1989, “The Importance of the Forward neutral Probability in a Stochastic Approach of Interest Rates,” working paper, ESSEC. Geman, H., N. E. Karoui, and J. C. Rochet., 1995, “Change of Numeraire, Changes of Probability Measures and Pricing of Options,” Journal of Applied probability, 32, 443-458 Heath, D, C., R. A. Jarrow, and A. J. Morton, 1990, “Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation,” Journal of Financial and Quantitative Analysis, 25, 419-440. Heath, D, C., R. A. Jarrow, and A. J. Morton, 1992, “Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation,” Econometrica, Vol. 60, No. 1, 77-105. Ho, T. S. Y., and S. B. Lee, 1986, “Term Structure Movements and Pricing of Interest Rate Claims,” Journal of Finance, 41, 1011-1029. Hull. J, and A. White, 1994a, “Numerical Procedures for Implementing Term Structure Model: Single-Factor Models,” The Journal of Derivatives, Fall, 7-16. Hull, J. and A. White, 1996, “Using Hull-White Interest Rate Trees,” The Journal of Derivatives, 3(3), 26-36. John J. and Merrick, JR., 2000, ”Pascal Spreading of Short-Term Interest Rate Contracts,” The Journal of Futures Markets, Vol.20, No.10, 889-910. Kavussanos Manolis G. and Nikos K. Nomikos, 2000,”Futures Hedging when the Structure of the Underlying Asset Changes: The Case of the BIFFEX Contract” Journal of Futures Markets, Vol.20, No.8, 775-801. Menkveld, B. and T. Vorst, 2000, “A Pricing Model for American Options with Gaussian Interest Rates,” Annals of Operations Research, 100(1), 211-226 Pedro Santa-Clara and Didier Sornette, 2001,“The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks,” The Review of Financial Studies Spring Vol. 14, No.1, 149-185.
描述:	碩士國立政治大學國際經營與貿易研究所 91351035 92
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0913510351
数据类型:	thesis
显示于类别:	[國際經營與貿易學系 ] 學位論文

文件中的档案:

档案	描述	大小	格式	浏览次数
51035101.pdf		78Kb	Adobe PDF2	788	检视/开启
51035102.pdf		97Kb	Adobe PDF2	748	检视/开启
51035103.pdf		41Kb	Adobe PDF2	665	检视/开启
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51035105.pdf		60Kb	Adobe PDF2	879	检视/开启
51035106.pdf		55Kb	Adobe PDF2	797	检视/开启
51035107.pdf		60Kb	Adobe PDF2	746	检视/开启
51035108.pdf		75Kb	Adobe PDF2	749	检视/开启
51035109.pdf		61Kb	Adobe PDF2	671	检视/开启
51035110.pdf		133Kb	Adobe PDF2	1007	检视/开启
51035111.pdf		107Kb	Adobe PDF2	1316	检视/开启
51035112.pdf		74Kb	Adobe PDF2	762	检视/开启
51035113.pdf		66Kb	Adobe PDF2	790	检视/开启
51035114.pdf		42Kb	Adobe PDF2	716	检视/开启
51035115.pdf		46Kb	Adobe PDF2	836	检视/开启

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