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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 劉淑鶯(Shu-Ing Liu) | |
dc.contributor.author | Yu-Chung Liu | en |
dc.contributor.author | 劉育忠 | zh_TW |
dc.date.accessioned | 2021-06-13T05:51:27Z | - |
dc.date.available | 2006-07-27 | |
dc.date.copyright | 2006-07-27 | |
dc.date.issued | 2006 | |
dc.date.submitted | 2006-07-04 | |
dc.identifier.citation | [1] Ammann, M. Credit Risk Valuation: Methods, Models, and Applications, 2nd ed., New York, NY: Springer-Verlag (2001).
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To Present At The Joint 14th Annual Pacific Basin Financial Economics and Accounting and 2006 Annual Financial Engineering Association of Taiwan Conference, Taipei, Taiwan, (July 15, 2006). [31] Longstaff, F. A., and E. S. Schwartz. 'A Simple Approach to Valuing Risky Fixed and Floating Rate Debt.' Journal of Finance, 50 (1995a), 789-819. [32] Longstaff, F. A., and E. S. Schwartz. 'Valuing Credit Derivatives.' Journal of Fixed Income, 5 (1995b), 6-12. [33] Madan, D. B., and H. Unal. 'Pricing the Risk of Default.' Review of Derivatives Research, 2 (1998), 121-160. [34] Merton, R. C. 'Theory of Rational Option Pricing.' Bell Journal of Economics an Management Science, 4 (1973), 141-183. [35] Merton, R. C. 'On the Pricing of Corporate Debt: The Risk Structure of Interest Rates.' Journal of Finance, 29 (1974), 449-470. [36] Merton, R. C. 'Option Pricing when Underlying Stock Returns Are Discontinuous.' Journal of Financial Economics, 3 (1976), 125-144. [37] Press, W. H., S. A. Teukolsky, W. T. Vetterling, and B. P. Flannery. Numerical Recipes in C++: The Art of Scientific Computing, 2nd ed. Cambridge, UK: Cambridge University Press (2002). [38] Pye, G. 'Gauging the Default Premium.' Financial Analysts Journal, 30 (1974), 49-52. [39] Ramaswamy, K., and S. Sundaresan. 'The Valuation of Floating-Rate Instruments: Theory and Evidence.' Journal of Financial Economics, 17 (1986), 251-272. [40] Rubinstein, M. 'Somewhere Over the Rainbow.' Risk, 4 (1991), 63-66. [41] Rubinstein, M. 'Return to OZ.' Risk, 7 (1994), 67-71. [42] Schonbucher, P. J. 'Term Structure Modelling of Defaultable Bonds.' Review of Derivatives Research, 2 (1998), 161-192. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/34009 | - |
dc.description.abstract | 本文提出封閉解與二項樹演算法以評價脆弱衍生性商品。報償函數主要延續Klein (1996) 與 Ammann (2001) 的信用風險結構。三個隨機過程 -- 標的股價,發行券商資產,與發行券商負債 -- 在模型中將被適當的建構。在所提出的報償函數下,我們推導出脆弱歐式選擇權的封閉解。利用Liu and Liu (2006) 期望內含價值的想法,配合 dimension reduction 的技巧,我們適當地為兩個具相關性的隨機過程 -- 標的股價與發行券商資產負債比 -- 建立了條件二項樹演算法。此外,根據 Rubinstein (1994) 的作法,我們亦建立了一個具一般性的二項金字塔演算法。這兩個演算法可同時作為脆弱歐式選擇權與脆弱美式選擇權評價的近似評價法。同時,解析證明與數值分析說明了所提出的二項樹模型會收斂到對應的封閉解。本文亦包含脆弱選擇權的敏感度分析。 | zh_TW |
dc.description.abstract | This paper presents both closed-form formulas and binomial tree algorithms to evaluate vulnerable derivatives. The payoff function extends mainly from the Klein (1996) and the Ammann (2001) credit risk frameworks. Three stochastic processes -- the underlying stock price, the assets value of the option writer, and the liabilities value of the option writer -- are suitably modeled. Closed-form solutions are derived for vulnerable European options under the suggested payoff function. Adopting the innovation of expected intrinsic value with a trick of dimension reduction by Liu and Liu (2006), a conditional binomial tree (CBT) algorithm for two correlated stochastic processes, the underlying stock price and the asset-to-debt ratio process, are properly established. Moreover, following Rubinstein (1994), a general binomial pyramid (BP) algorithm is set up. Both algorithms serve as discrete approximations for vulnerable European and vulnerable American options evaluation. It is analytically verified and numerically illustrated that the proposed binomial tree model contains the closed-form formula as a limiting case. Some sensitivity analyses for the discussed vulnerable options are also included. | en |
dc.description.provenance | Made available in DSpace on 2021-06-13T05:51:27Z (GMT). No. of bitstreams: 1 ntu-95-R93221012-1.pdf: 1095108 bytes, checksum: bba819852db1842a52d0768d6c4b0fb7 (MD5) Previous issue date: 2006 | en |
dc.description.tableofcontents | Abstract [i]
Abstract (in Chinese) [ii] Acknowledgement [iii] 1. Introduction [1] 2. Review of Credit Risk Models [3] 2.1 Notation and Assumptions [3] 2.2 Review of Credit Risk Models for Vulnerable European Options [4] 2.3 Binomial Tree Evaluation Algorithm for Vulnerable Options [7] 3. The Discussed Pricing Model [8] 3.1 Payoff Function [9] 3.2 Closed-form Formula for Vulnerable European Options [11] 4. Binomial Tree Evaluation Algorithms [15] 4.1 Conditional Binomial Tree (CBT) Algorithm [16] 4.1.1 CBT Algorithm for Vulnerable European Options (CBT_E) [17] 4.1.2 Convergence of CBT_E Algorithm [20] 4.1.3 CBT Algorithm for Vulnerable American Options (CBT_A) [21] 4.2 Binomial Pyramid (BP) Algorithm [24] 4.2.1 Construction of the Binomial Pyramid [25] 4.2.2 BP Algorithm for Vulnerable European Options (BP_E) [31] 4.2.3 BP Algorithm for Vulnerable American Options (BP_A) [33] 5. Numerical Illustration [35] 5.1 Comparison of CBT_E and BP_E Algorithms [36] 5.2 Comparison of CBT_A and BP_A Algorithms [39] 5.3 Comparative Static Analysis [42] 6. Conclusion [51] Appendix A: proof of the closed-form formula [52] Appendix B: proof of convergence of CBT_E algorithm [55] Appendix C: determination of parameters for BP algorithm [59] Appendix D: implementation of BP_A algorithm [61] References [65] | |
dc.language.iso | en | |
dc.title | 考量發行券商隨機資產與負債下脆弱選擇權之評價 | zh_TW |
dc.title | Pricing Vulnerable Options Subject to Stochastic Evolution of Writer's Assets and Liabilities | en |
dc.type | Thesis | |
dc.date.schoolyear | 94-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 彭?堅(Kenneth James Palmer),鄭明燕(Ming-Yen Cheng),傅承德(Cheng-Der Fuh) | |
dc.subject.keyword | 信用風險,脆弱選擇權評價,期望內含價值,條件二項樹演算法,二項金字塔演算法, | zh_TW |
dc.subject.keyword | Credit Risk,Vulnerable Option Pricing,Expected Intrinsic Value,Conditional Binomial Tree Algorithm,Binomial Pyramid Algorithm, | en |
dc.relation.page | 67 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2006-07-06 | |
dc.contributor.author-college | 理學院 | zh_TW |
dc.contributor.author-dept | 數學研究所 | zh_TW |
顯示於系所單位: | 數學系 |
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