論文使用權限 Thesis access permission:校內校外完全公開 unrestricted
開放時間 Available:
校內 Campus: 已公開 available
校外 Off-campus: 已公開 available
論文名稱 Title |
應用違約機率時間序列模型對衍生商品定價 Derivative pricing based on time series models of default probabilities |
||
系所名稱 Department |
|||
畢業學年期 Year, semester |
語文別 Language |
||
學位類別 Degree |
頁數 Number of pages |
43 |
|
研究生 Author |
|||
指導教授 Advisor |
|||
召集委員 Convenor |
|||
口試委員 Advisory Committee |
|||
口試日期 Date of Exam |
2006-06-14 |
繳交日期 Date of Submission |
2006-08-02 |
關鍵字 Keywords |
衍生性商品定價、倒閉機率、信用風險、自我迴歸模型、結構式、對數勝算比、縮減式 reduced-form, structural form, log odds ratios, derivative pricing, default probabilities, autoregressive, credit risk |
||
統計 Statistics |
本論文已被瀏覽 5709 次,被下載 4266 次 The thesis/dissertation has been browsed 5709 times, has been downloaded 4266 times. |
中文摘要 |
近年來,具有信用風險的衍生性商品的定價問題越來越受到重視。我們利用條件倒閉機率的對數勝算比的自我迴歸時間序列模型對衍生性商品做定價。我們對所提出的對數勝算比模型,推導兩種衍生性商品債券和選擇權的定價公式。研究中發現,在結構式與縮減式方法中的條件倒閉機率的對數勝算比,亦可配適適當的自我迴歸時序模型。文章最後利用統計模擬的方法來探討公式的準確性。 |
Abstract |
In recent years, people pay much attention to derivative pricing subject to credit risk. In this paper, we proposed an autoregressive time series model of log odds ratios to price derivatives. Examples of the proposed model are given via the structural and reduced form approaches. Pricing formulae of the proposed time series models are derived for bonds and options. Furthermore, simulation studies are performed to confirm the accuracy of derived formulae. |
目次 Table of Contents |
1 Introduction 1 2 Literature review 2 2.1 Structural model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 2.2 Reduced-form model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 3 The proposed models 5 3.1 Time series models of log odds ratios . . . . . . . . . . . . . . . . . . . . . 5 3.2 Examples of log odds ratio models . . . . . . . . . . . . . . . . . . . . . . . 6 4 The pricing formulae 8 4.1 Bond pricing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 4.2 Option pricing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 5 Simulation results 13 6 Conclusions and future work 16 Appendix A 17 Appendix B 21 Appendix C 31 |
參考文獻 References |
References Artzner, Philippe and Delbean Freddy (1995), Default risk insurance and incomplete markets, Mathematical Finance 5, 187-195. Black, Fischer and Myron Scholes (1973), The pricing of options and corporate liabilities, Journal of Political Economy 81, 81-98. Black, Fischer and John C. Cox (1976), Valuing corporate securities: Some e®ects of bond indenture provisions, Journal of Finance 31, 351-367. Du±e, Darrell and Kenneth J, Singleton (1999), Modeling Term Structures of Defaultable Bonds, Review of Financial Studies 12, 687-720. Jarrow, Robert A. and Stuart M. Turnbull (1995), Pricing derivatives on ‾nancial secu- rities subject to credit risk, Journal of Finance 50(1), 53-86. Klein, P. (1996), Pricing Black-Scholes Options with Correlated Credit Risk, Journal of Banking and Finance, 20, 1211-1229. Merton, Robert C. (1974), On the pricing of debt: The risk structure of interest rates, Journal of Finance 29, 449-470. Reisz, Alexander and Claudia Perlich (2004), A market-based framework for bankruptcy prediction Working Paper, Baruch College and New York University. Sunklodas, J. (1984) On the rate of convergence in the central limit theorem for strongly mixing random variables. Lithuanian math. J., 24, 182-190. |
電子全文 Fulltext |
本電子全文僅授權使用者為學術研究之目的,進行個人非營利性質之檢索、閱讀、列印。請遵守中華民國著作權法之相關規定,切勿任意重製、散佈、改作、轉貼、播送,以免觸法。 論文使用權限 Thesis access permission:校內校外完全公開 unrestricted 開放時間 Available: 校內 Campus: 已公開 available 校外 Off-campus: 已公開 available |
紙本論文 Printed copies |
紙本論文的公開資訊在102學年度以後相對較為完整。如果需要查詢101學年度以前的紙本論文公開資訊,請聯繫圖資處紙本論文服務櫃台。如有不便之處敬請見諒。 開放時間 available 已公開 available |
QR Code |