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題名：或有請求權分析：存款保險與外幣選擇權定價之應用
作者：董夢雲
作者(外文)：Meng Yun Dong
校院名稱：國立中央大學
系所名稱：財務管理研究所
指導教授：俞明德
張傳章
學位類別：博士
出版日期：1999
主題關鍵詞：或有請求權；存款保險；隨機利率；鞅性測度；流動性風險；隨機波動性；外幣選擇權；contigent claim analysis；deposit insurance；stochastic interest rate；martingale measure；liquidity risk；stochastic volatility；currency option
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本論文運用或有請求權分析於銀行產業的存款保險以及外幣選擇權的定價之上。基本上本文採連續時間的架構，配合全面均衡的分析方法，運用鞅性測度的機率測度轉換技巧，求出公平的價格。在存款保險方面，本文著重在探討利率風險和流動性風險對保費的影響。在ＣＩＲ的利率程序下，利率的波動性對存款保費的影響並不顯著，至於流動性風險在本文的分析中對保費的影響是正面而且顯著。在外幣選擇權方面，本文著重在探討隨機利率程序和隨機波動性對其價格的影響。在ＣＩＲ的利率程序以及與本國利率平方根成正比的波動性下，利率波動性對選擇權價格的影響並不顯著，對長天期的外幣選擇權而言，本文計算出來的價格也遠低於Black-Scholes模型的價格。
This thesis discusses the deposit insurance of banking industry and pricing of currency options under the framework of contingent claim analysis. Basically, this thesis transforms probability measure to the martingale measure in the
continuous-time and general equilibrium structure to get the fair price of financial contract. The first part of this thesis is on the deposit insurance
of banking industry. I emphasis the effect of interest rate volatility and liquidity risk on the insurance premium. The effect of interest rate volatility is not significant under the CIR interest rate process. The effect of liquidity risk is positive and significant. The second part of this thesis
is on the pricing of currency options. I emphasis on the effect of stochastic interest rate and stochastic volatility on the option premium. I assume the volatility is proportion to the square of domestic interest rate and both the domestic and foreign interest rate follow CIR processes. I found that the
effect of interest rate volatility is not significant. To the long-term contract, however, the premium calculated by the thesis is far below that of Black-Scholes model.
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Chen, R. and L. Scott, "Pricing Interest Rate Options in a Two-Factor Cox-Ingersoll-Ross Model of the Term Structure," Review of Financial Studies, Vol. 5, pp. 613-36, 1992.
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Harrison, J. and S. Pliska, "Martingales and Stochastic Integrals in the Theory of Continuous Trading," Stochastic Process and Their Applications, Vol. 11, pp. 215-260, 1981.
Harrison, J. and S. Pliska, "A Stochastic Calculus Model of Continuous Trading: Complete Model," Stochastic Process and Their Applications, Vol. 15, pp. 313-316, 1981.
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Merton, R., "Theory of Rational Option Pricing," Bell Journal of Economics and Management Science, Vol. 4, pp. 141-183, 1973.
Scott, L., "Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods," Review of Financial Studies, forthcoming.
Scott, L., "Option Pricing When the Variance Changes Randomly: Theory, Estimation, and an Application," Journal of Financial and Quantitative Analysis Vol. 22, December 1987, pp. 419-438.
Tse, Y., "Some International Evidence on the Stochastic Behavior of Interest Rates," Journal of International Money and Finance, Vol. 14, No. 5, pp. 721-738, 1995.
Tucker, A., D. Peterson, and E. Scott, "Tests of the Black-Scholes and Constant Elasticity of Variance Currency Call Option Valuation Models," Journal of Financial Research, Fall 1988, pp. 201-213.
Tucker, A. and E. Scott, "A Study of Diffusion Processes for Foreign Exchange Rates," Journal of International Money and Finance, December 1987, pp. 465-478.
Vasicek, O., "An Equilibrium Characterization of the Term Structure," Journal of Financial Economics, Vol 5, pp. 177-188, 1977.
Wilmott, P., J. Dewynne, and S. Howison, Option Pricing: Mathematical Models and Computation, Oxford Financial Press, Oxford, 1993.
 
 
 
 
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