結合Hull-White利率模型與求面積法評價雪球型債劵

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DC Field	Value	Language
dc.contributor.author	王志勛	en_US
dc.contributor.author	鍾惠民	en_US
dc.contributor.author	戴天時	en_US
dc.date.accessioned	2014-12-12T03:08:35Z	-
dc.date.available	2014-12-12T03:08:35Z	-
dc.date.issued	2006	en_US
dc.identifier.uri	http://140.113.39.130/cdrfb3/record/nctu/#GT009439510	en_US
dc.identifier.uri	http://hdl.handle.net/11536/81863	-
dc.description.abstract	Hull-White利率模型以三元樹表達短期利率變化，其假設短期利率在各離散時間上有持平、上漲或下跌一單位(ΔR)三種走勢，然而事實上，利率經過一段時間(Δt)後的可能走勢不該只有三種。本文利用求面積法(Quadrature methods)將Hull-White三元樹延伸至多元樹，以減少分配誤差所造成的錯誤評價。並針對市場上交易的雪球型利率連債劵提出一個創新的數值方法，處理其高度路徑相關的債息問題，搭配Hull-White多元樹狀結構來評價之。	zh_TW
dc.language.iso	zh_TW	en_US
dc.subject	Hull-White 模型	zh_TW
dc.subject	求面積法	zh_TW
dc.subject	分配誤差	zh_TW
dc.subject	雪球型利率連動債劵	zh_TW
dc.subject	Hull-White model	en_US
dc.subject	Quadrature methods	en_US
dc.subject	distribution error	en_US
dc.subject	snowball notes	en_US
dc.title	結合Hull-White利率模型與求面積法評價雪球型債劵	zh_TW
dc.title	pricing snowball notes with Hull-White model and quadrature methods	en_US
dc.type	Thesis	en_US
dc.contributor.department	財務金融研究所	zh_TW
Appears in Collections:	Thesis