李賢源2006-07-262018-07-092006-07-262018-07-092003http://ntur.lib.ntu.edu.tw//handle/246246/16273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.application/pdf123379 bytesapplication/pdfzh-TW國立臺灣大學財務金融學系暨研究所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 RateVolatility Structure of Interest RateInterest Rate OptionsInterest Rate Capsreporthttp://ntur.lib.ntu.edu.tw/bitstream/246246/16273/1/912416H002026.pdf