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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.
1

利率衍生性商品之評價-以cross-currency LIBOR market model為例 / Pricing interest rate options in a cross-currency LIBOR market model

連云暄 Unknown Date (has links)
跨通貨型的利率衍生性商品提供一個管道,讓投資人能夠投資國外債券或是兩國立利率差而不牽扯任何匯率風險,本文主要利用跨通貨LIBOR市場模型(cross-currency LIBOR market model)及蒙地卡羅模擬法,針對兩種型態的跨國區間浮動利率債券進行評價,一為以國內利率為計息利率而國外利率為指標利率,另一個為以國外利率為計息利率而國內利率為指標利率,分析債券在不同的計息區間下價格之變化,為了協助投資人了解投資利率型連動債所會面臨的報酬與風險,同時針對利率水準以及遠期利率波動度進行敏感度分析,敏感分析的結果顯示遠期利率水準之波動度對債券影響不大,投資人應更加注重利率水準之變化。

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