利率障礙選擇權

interest rate barrier options pricing

楊宗穆(Tsung-Mu yang)

指導教授 ： 呂育道

國立臺灣大學/管理學院/財務金融學研究所/碩士(2005年)

https://doi.org/10.6342/NTU.2005.00807

摘要

無資料

關鍵字

利率 ； 障礙

並列摘要

Cheuk and Vorst’s method [1996a] can be applied to price barrier options using one-factor interest rate models when recombining trees are available. For the Hull-White model, barriers on bonds or swap rates are transformed to time-dependent barriers on the short rate and we use a time-dependent shift to position the tree optimally with respect to the barrier. Comparison with barrier options on bonds or swaps when the observation frequency is discrete confirms that the method is faster than the Monte Carlo method. Unlike other methods which are only applicable in the continuously observed case, the lattice methods can be used in both the continuously and discretely observed cases. We illustrate the methodology by applying it to value single-barrier swaption and single-barrier bond options. Moreover, we extend Cheuk and Vorst’s idea [1996b] to double-barrier swaption pricing.

並列關鍵字

interest rate ； barrier

參考文獻

[1] Cheuk, T.H.F., and T.C.F. Vorst, “Breaking Down Barriers,” RISK (April 1996a), pp. 64-67.

[2] Cheuk, T.H.F., and T.C.F. Vorst, “Complex Barrier Options,” Journal of Derivatives (Fall 1996b), pp. 8-22.

[3] Hull, J., and A. White, “Using Hull-White Interest Rate Trees,” Journal of Derivatives (Spring 1996), pp. 26-36.

[4] Hull, J., and A. White, “One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities,” Journal of Derivatives (June 1993), pp. 235-254.

[5] Hull, J., Options, Futures, and Other Derivatives, Englewood Cliff, NJ: Prentice Hall, 2003.