請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/36935
完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 呂育道 | |
dc.contributor.author | Tsung-Mu yang | en |
dc.contributor.author | 楊宗穆 | zh_TW |
dc.date.accessioned | 2021-06-13T08:23:36Z | - |
dc.date.available | 2010-07-21 | |
dc.date.copyright | 2005-07-21 | |
dc.date.issued | 2005 | |
dc.date.submitted | 2005-07-15 | |
dc.identifier.citation | Bibliography
[1] Cheuk, T.H.F., and T.C.F. Vorst, “Breaking Down Barriers,” RISK (April 1996a), pp. 64-67. [2] Cheuk, T.H.F., and T.C.F. Vorst, “Complex Barrier Options,” Journal of Derivatives (Fall 1996b), pp. 8-22. [3] Hull, J., and A. White, “Using Hull-White Interest Rate Trees,” Journal of Derivatives (Spring 1996), pp. 26-36. [4] Hull, J., and A. White, “One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities,” Journal of Derivatives (June 1993), pp. 235-254. [5] Hull, J., Options, Futures, and Other Derivatives, Englewood Cliff, NJ: Prentice Hall, 2003. [6] Sorwar, G. and Barone-Adesi, G., “Interest Rate Barrier Options,” Kluwer Applied Optimization Series, (2003). [7] Simona Svoboda, Interest Rate Modeling, London: Antony Rowe, 2004. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/36935 | - |
dc.description.abstract | 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. | en |
dc.description.provenance | Made available in DSpace on 2021-06-13T08:23:36Z (GMT). No. of bitstreams: 1 ntu-94-R92723059-1.pdf: 518027 bytes, checksum: c9e0b0f4f45523ec4d4f8d562c735e38 (MD5) Previous issue date: 2005 | en |
dc.description.tableofcontents | Contents
1 Introduction 1 2 Preliminaries 7 3 Cheuk and Vorst’s Method 18 4 Extending Cheuk and Vorst’s Method 39 5 Conclusions 46 Bibliography 47 | |
dc.language.iso | en | |
dc.title | 利率障礙選擇權 | zh_TW |
dc.title | interest rate barrier options pricing | en |
dc.type | Thesis | |
dc.date.schoolyear | 93-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 金國興,戴天時 | |
dc.subject.keyword | 利率,障礙, | zh_TW |
dc.subject.keyword | interest rate,barrier, | en |
dc.relation.page | 49 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2005-07-19 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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