國內結構債市場業已蓬勃發展，市場模型亦相當適合結構債評價。本文在市場模型下，因市場模型不具馬可夫性質，運用最小平方蒙地卡羅法針對三連結標的為LIBOR的結構債進行評價。 / The market of the structured notes has been blossoming. The lognormal forward LIBOR model is more suitable for the valuation of structured notes than do the traditional interest rate models. In this article, we perform three case studies of the valuation of the structured notes linked to LIBOR in lognormal forward LIOBR model. It is easier to implement the lognormal forward LIBOR model by Monte Carlo simulation due to the non-Markovian property. Therefore, the least-squares Monte Carlo approach is used to deal with the callable feature of the structured notes in our case studies.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0923520101 |
| Creators | 趙子賢, Chao, Tzu-Hsien |
| 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 |
Page generated in 0.001 seconds