在HJM模型下使用遠期定價法評價或有求償權

• Main Authors: 張佳沛, Chang,Chia-Pai
• Language: 英文
• Published: 國立政治大學
• Subjects: HJM模型; 遠期定價; 利率期貨; 美式選擇權; HJM Model; forward-risk adjusted; interest rate fututres; American option
• Online Access: http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0913510351%22.

我們使用一個新方法來評價美式或歐式的或有求償權，其受到本地利率和權益價值的影響。我們使用標的資產的遠期價格的樹狀圖，進而對或有求償權作定價。其中我們評價了美式與歐式的股票選擇權，以及利率期貨和利率期貨選擇權。 === We introduce a methodology for pricing American or European style contingent claims, influenced by domestic interest rates, and equity prices. Instead of using trees of short-term interest rate, bond price or forward interest rate, this tree method will use the forward prices of underlying assets to derive implied binomial spot-price tree and in turn price long term American or European options, and interest rate futures and interest rate futures options.