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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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平均利率上限選擇權之評價-LIBOR Market Model

謝震洋 Unknown Date (has links)
爲規避利率上升風險，市場上有很多避險工具，諸如遠期利率協定、利率交換、我國期交所於2004年1月2日所推出的債券期貨（或稱利率期貨）、歐元期貨契約。本論文所要探討的是平均利率上限選擇權之評價，使用的方法是建構Forward LIBOR Tree之利率樹，再使用Timothy. R. Klassen（2001）評價亞式選擇權的方法來評價平均利率上限選擇權。
平均利率上限選擇權
亞式選擇權
市場模型
二元樹
Average rate Cap
Asian Option
LIBOR Market Model
Binomial Tree

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