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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/36935
標題: | 利率障礙選擇權 interest rate barrier options pricing |
作者: | Tsung-Mu yang 楊宗穆 |
指導教授: | 呂育道 |
關鍵字: | 利率,障礙, interest rate,barrier, |
出版年 : | 2005 |
學位: | 碩士 |
摘要: | Cheuk and Vorst’s method [1996a] can be applied to price barrier options using one-factor interest rate models when recombining trees are available. For the Hull-White model, barriers on bonds or swap rates are transformed to time-dependent barriers on the short rate and we use a time-dependent shift to position the tree optimally with respect to the barrier. Comparison with barrier options on bonds or swaps when the observation frequency is discrete confirms that the method is faster than the Monte Carlo method. Unlike other methods which are only applicable in the continuously observed case, the lattice methods can be used in both the continuously and discretely observed cases. We illustrate the methodology by applying it to value single-barrier swaption and single-barrier bond options. Moreover, we extend Cheuk and Vorst’s idea [1996b] to double-barrier swaption pricing. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/36935 |
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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