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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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Spelling suggestions: "subject:"interest rate fututures"" "subject:"interest rate futures""

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在HJM模型下使用遠期定價法評價或有求償權 / Pricing Contingent Claims under HJM Model using Forward Pricing Method

張佳沛, Chang,Chia-Pai Unknown Date (has links)
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.
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

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