市場利率模型對區間型計息債券之定價及分析; Pricing and Analyzing Range Note in LIBOR Market Model

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Title:	市場利率模型對區間型計息債券之定價及分析;Pricing and Analyzing Range Note in LIBOR Market Model
Authors:	王薇楨;Wei-Jen Wang
Contributors:	財務金融研究所
Keywords:	市場利率模型;區間型計息債券;Range Note;LIBOR Market Model
Date:	2005-06-25
Issue Date:	2009-09-22 14:38:36 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	本篇論文主要是在對結構型商品：區間型計息債券之特性與此商品的價格變化與影響因素進行分析，而在評價上，則是利用市場利率模型以蒙地卡羅模擬方式進行定價，利用市場利率模型進行模擬，相較於其他模型，其校準的過程較為簡便，透過此模型的應用，希望能以較為直觀、簡單的方式，對區間型計息債券定價，並對定價之結果，及影響定價之因素進行探討，除此之外，針對區間型計息債券的特性，從發行者的角度對其避險策略進行分析。 The aim of this article is to price and analyze the range note which is a kind of structure notes with the digital option embedded. First, we discuss the feature and the structural variation of the range note. Second, we use the Libor market model to price the range note and observe the variation of price under the changes of the structure of the contract, the parameter of model and the market term structure. Finally, we will provide the hedge strategy for the issuer of the range note through the analysis of structure.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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