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    政大機構典藏 > 商學院 > 統計學系 > 學位論文 >  Item 140.119/118936
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/118936

    Title: 可贖回CMS區間計息型商品之評價與實證分析: LIBOR與GARCH市場模型之比較
    Pricing and Empirical Analysis of Callable Range Accrual Linked to CMS: Comparison of LIBOR and GARCH Market Models
    Authors: 馮冠群
    Feng, Kuan-Chun
    Contributors: 薛慧敏

    Hsueh, Hui-Min
    Lin, Shih-Kuei

    Feng, Kuan-Chun
    Keywords: 固定期限交換利率
    GARCH 波動度模型
    GARCH model
    Range accrual
    Least squares monte carlo method
    Date: 2018
    Issue Date: 2018-07-27 11:34:54 (UTC+8)
    Abstract: 透過最小平方蒙地卡羅法以對數常態遠期利率(Lognormal Forward LIBOR Model, LFM)市場模型,及廣義自我回歸條件異質變異(Generalized Autoregressive Conditional Heteroscedasticity, GARCH) 波動度市場模型來評價可贖回區間計息(Range Accrual)固定期限交換利率(Constant Maturity Swap, CMS)的衍生性商品。在本研究中,由於在區間計息下無法推導出封閉解,以LFM 下的動態過程為基礎,模擬未來的市場LIBOR 利率及CMS 利率,以最小平方蒙地卡羅法評價商品。波動度估計採兩種方式,第一種以歷史資料估計,第二種將LFM 的遠期利率瞬間波動度的假設形式改以GARCH 波動度模型表示,將兩者CMS 模擬結果與真實市場價格做比較。實證結果顯示將LFM 的遠期利率瞬間波動度的假設形式改以GARCH 模型之CMS 模擬更貼近市場真實價格。
    Through the least squares Monte Carlo method, Using the Lognormal Forward LIBOR Model (LFM) and GARCH (Generalized Autoregressive conditional heteroskedasticity) market models to price the derivatives of the CMS (Constant Maturity Swap) Range Accrual. In this paper, since the closed form of solution can’t be derived under the range accrual, firstly we based on the dynamic process under LFM, the forward LIBOR interest rate and CMS interest rate are simulated, and the derivatives is evaluated by the least square Monte Carlo method. There are two ways to estimate the volatility. The first one is estimated by historical data. The second is to change the hypothetical form of LFM's forward rate instantaneous volatility to the
    GARCH volatility model, and the two CMS simulation results are compared with the real market price. The empirical results show that the hypothetical form of LFM's forward interest rate instantaneous volatility which changed to the GARCH model, it’s CMS simulation is closer to the real market price.
    Reference: 中文部分
    3.黃貞樺,2007,LIBOR 市場模型下可贖回區間計息連動債券之評價與分析,政大金融研究所碩士論文。
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    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1053540191
    Data Type: thesis
    DOI: 10.6814/THE.NCCU.STAT.010.2018.B03
    Appears in Collections:[統計學系] 學位論文

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