呂育道臺灣大學：財務金融學研究所楊宗穆yang, Tsung-MuTsung-Muyang2007-11-282018-07-092007-11-282018-07-092005http://ntur.lib.ntu.edu.tw//handle/246246/60624Cheuk 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.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 47518027 bytesapplication/pdfen-US利率障礙interest ratebarrierthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60624/1/ntu-94-R92723059-1.pdf