Pricing Zero Callable Bonds：the Comparison between Trinomial Tree and the Least-Squares Monte-Carlo Method
| Autor: | Lin, Yen-Ju, 林姸如 |
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| Rok vydání: | 2018 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 106 For the bonds’ traders, they don’t have the reasonable right price to refer when they want to make a deal with their counterparts. Also to provide fair price of the company’s holding financial assets to let them follow the accounting criterions in IFRS 9. So to fulfill all the requirements, this thesis builds two pricing models of zero callable bonds, according to three references, including the way called Least-Squares Monte-Carlo Pricing Method which is published by Longstaff and Schwartz（2001）, the Binomial Model which is published by Cox, Ross and Rubinstein （1979）, and the construction method of trinomial tree which is published by Hull and White（1994a）. And in empirical analysis, I not only discuss about the sensitivity of some parameters, but also compare the gap between the results that get from different methods and add the theoretical price that is offered on the website of Taipei Exchange to be the other comparison. In conclusion, the gaps between Least-Squares Monte-Carlo Pricing Method and the theoretical price are smaller than 2%. And the gaps between the second method and theoretical price are smaller than 4%. But in the aspect of the expandability of pricing method, the Least-Squares Monte-Carlo pricing method that I derived will be more flexible model for pricing the zero callable bonds. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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