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.
Identifer | oai:union.ndltd.org:CHENGCHI/G0913510351 |
Creators | 張佳沛, Chang,Chia-Pai |
Publisher | 國立政治大學 |
Source Sets | National Chengchi University Libraries |
Language | 英文 |
Detected Language | English |
Type | text |
Rights | Copyright © nccu library on behalf of the copyright holders |
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