https://scholars.lib.ntu.edu.tw/handle/123456789/165842
標題: | 不同標的利率、殖利率曲線、波動結構對標準與亞式利率上限契約價值的影響 | 其他標題: | Impacts of Underlying Interest Rates, Yield Curves and Volatility Structure on the Values of Standard Cap and Average Cap | 作者: | 李賢源 | 關鍵字: | 利率期間結構;利率波動性結構;利率選擇權;利率上限契約;Term Structure of Interest Rate;Volatility Structure of Interest Rate;Interest Rate Options;Interest Rate Caps | 公開日期: | 2003 | 出版社: | 臺北市:國立臺灣大學財務金融學系暨研究所 | 摘要: | 本文推導不同利率模型下、不同標 的資產的標準利率上限契約的評價封閉 解,並且應用實例驗證各種評價公式的差 異。本文分別在Hull and White (1990)、 Heath, Jarrow and Morton (1992)、Brace, Gatarek and Musiela (1997) 利率模型下 推導評價公式,標的資產則分別以瞬間短 率(Short Rate)、即期利率(Spot Rate)、 LIBOR 利率當指標。本文的實證則探討 分析在不同利率模型下,標準利率上限契 約價值的比較、利率波動性結構型態對標 準利率上限契約價值的影響、以及標準單 一利率上限契約價值與契約到期期限的關係。 This paper derives the pricing formula for a standard cap, under different term structure models and using different interest rates as the underlying asset. The term structure models employed include Hull and White (1990), Heath, Jarrow and Morton (1992), Brace, Gatarek and Musiela (1997). In separate cases, the underlying asset is assumed to pay the short rate, the spot rate, and the LIBOR rate. A unique pricing formula appropriate for each case is derived here and a numerical example is applied to demonstrate their differences. The following empirical studies are conducted : (1) Computation of premiums of standard caps with various underlying assets and maturities; (2) Impact of interest rate volatility structure on the premium of a standard cap; (3) Relationship between cap premium and maturity. |
URI: | http://ntur.lib.ntu.edu.tw//handle/246246/16273 | 其他識別: | 912416H002026 | Rights: | 國立臺灣大學財務金融學系暨研究所 |
顯示於: | 財務金融學系 |
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