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標題: | 隨機利率波動性下對通貨膨脹衍生性金融商品定價 Pricing Inflation Derivatives Within Interest Rate Stochastic Volatility |
作者: | Bo-Cheng Pan 潘柏丞 |
指導教授: | 李賢源 |
關鍵字: | Fong-Vasicek模型,Heston模型,隨機波動度,外匯分析法,通貨膨脹選擇權, Fong-Vasicek model,Heston model,Stochastic volatility,Foreign Currency Analysis,Inflation options, |
出版年 : | 2015 |
學位: | 碩士 |
摘要: | 本文以Heston與Fong-Vasicek模型為基礎。Heston模擬物價指數,並結合Fong- Vasicek模擬名目利率,實質利率以及各自的波動率,其中各個隨機過程的相關性不為零。Heston模型可以捕捉在通貨膨脹選擇權中的波動性微笑與波動性偏離;Fong-Vasicek模型可以解決以往文獻利率波動度為deterministic的問題。本文將隨機過程推導致T Forward Measure之下,利用蒙地卡羅法評價通貨膨脹選擇權。 We consider a Heston type inflation model in combination with a Fong-Vasicek model for nominal and real interests and their variance, in which correlations can be non-zero. Due to the presence of Heston dynamics our derived inflation model is able to capture the implied volatility smile/skew, which is present in the inflation market data. Fong-Vasicek model can capture the stochastic interest rate volatility which is deterministic in the previous papers. We derive the dynamic under T Forward measure, and use the Monte Carlo Simulation to price the inflation options. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/54786 |
全文授權: | 有償授權 |
顯示於系所單位: | 財務金融學系 |
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