To see the other types of publications on this topic, follow the link: Trinomial Tree Model.
Dissertations / Theses on the topic 'Trinomial Tree Model'
Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles
Consult the top 16 dissertations / theses for your research on the topic 'Trinomial Tree Model.'
Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.
You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.
Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.
1
Rehnman, Gustav, and Ted Tigerschiöld. "Analysis of Student Loan Asset-Backed Securities : Construction of a Valuation Model using a Trinomial Interest Rate Tree." Thesis, KTH, Matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-189021.
Full textAbstract:
Student debt in the U.S has grown rapidly over the last decades. A common practice among lenders is to pool the loans into securities that are sold off and traded between institutional investors. Since these securities have no market price this thesis aims to develop a valuation model. A time discrete approach is used, based on the Hull-White short-rate model to create a trinomial interest rate tree. This tree serves as a basis for the discounting of future cash flows generated from a specific student loan asset-backed security. In order to assess the credit risk, the student loan market and potential speculative bubbles are discussed. The model is applied on the ”Navient Student Loan Trust 2015-2” and each tranche’s intrinsic value and yield to maturity is calculated. Since the model lacks proper quantification of the credit risk, the result is a valuation model that is best used when valuing asset-backed securities that can be deemed risk- free.Studentskulden i USA har växt kraftigt under de senaste decennierna. Ofta samlar de långivande bankerna ihop studentlånen och skapar värdepapper av lånen. Dessa säljs vidare och handlas sedan mellan institutionella investerare. Eftersom dessa värdepapper saknar marknadspris, ämnar den här uppsatsen att skapa en värderingsmodell. Detta görs i diskret tid, utifrån Hull-Whites korträntemodell skapas ett trinomialt träd. Detta träd tjänar sedan som bas för att diskontera framtida kassaflöden från ett specifikt studentlånsvärdepapper. För att uppskatta kreditrisken diskuteras studentlånemarknaden och potentiella spekulativa bubblor. Modellen appliceras på ”Navient Student Loan Trust 2015-2” och det diskonterade värdet samt avkastning för varje specifik tranche beräknas. Då modellen saknar en kvantifiering av kreditrisken, är resultatet en modell som är mest applicerbar vid värdering av tillgångssäkrade värdepapper som kan bedömas som riskfria.
2
Yuen, Fei-lung, and 袁飛龍. "Pricing options and equity-indexed annuities in regime-switching models by trinomial tree method." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B45595616.
Full text
3
FILHO, PAULO ROBERTO LIMA DIAS. "OPTION PRICING USING THE IMPLIED TRINOMIAL TREES MODEL: APPLIED TO THE BRAZILLIAN STOCK MARKET." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2012. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=20294@1.
Full textAbstract:
PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROEsta dissertação visa analisar como o modelo de apreçamento de opções, utilizando o conceito de árvore trinomial implícita, pode ser aplicado no mercado acionário brasileiro, com resultados mais consistentes, se comparado ao modelo de Black-Scholes. Esse modelo incorpora o conceito de volatilidade implícita, sendo consideradas as expectativas futuras em relação ao preço de um ativo. A volatilidade implícita apresenta diferentes valores para diferentes preços de exercício ao longo do tempo. A denominação sorriso de volatilidade deve-se ao formato da curva da volatilidade implícita em função do preço de exercício. O formato do sorriso varia de acordo com o ativo-objeto da opção. Assim, a volatilidade varia ao longo tempo no cálculo da árvore, pois leva em considerando as oscilações do mercado, o que, conseqüentemente, impacta no preço do ativo e sua opção.
This Paper aims to analyze how the option pricing model, using the concept of Implied Trinomial Trees can be applied to the Brazilian stock market, achieving more accurate results, if compared to the Black-Scholes model. This model includes the Implied Volatility concept, which means that future expectations are considered to price an asset. It presents different values for different Strike Prices through time. The volatility smile is named this way because of the shape of the Implied Volatility x Strike Price curve, which reminds a smile. Its shape changes according to the asset to be priced. Thus, as volatility varies with time, the option pricing using Implied Trinomial Trees is affected by the market’s oscillations, whose consequences can be observed in the asset’s price and its option price, consequently.
4
Yolcu, Yeliz. "One Factor Interest Rate Models: Analytic Solutions And Approximations." Master's thesis, METU, 2005. http://etd.lib.metu.edu.tr/upload/2/12605863/index.pdf.
Full textAbstract:
The uncertainty attached to future movements of interest rates is an essential part of the Financial Decision Theory and requires an awareness of the stochastic movement of these rates. Several approaches have been proposed for modeling the one-factor short rate models where some lead to arbitrage-free term structures. However, no definite consensus has been reached with regard to the best approach for interest rate modeling. In this work, we briefly examine the existing one-factor interest rate models and calibrate Vasicek and Hull-White (Extended Vasicek) Models by using Turkey's term structure. Moreover, a trinomial interest rate tree is constructed to represent the evolution of Turkey&rsquo
s zero coupon rates.
5
Lu, Cheng-tong, and 呂正東. "FUZZY TRINOMIAL TREE OPTION PRICING MODEL." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/46951117091270826047.
Full textAbstract:
碩士大同大學
事業經營研究所碩士在職專班
91
ABSTRACT Option is one of the tools used by investors for arbitrage and hedging. currently, Black-Scholes and CRR models are commonly used for option pricing. However, they can only provide a theoretical reference. Though Yu (2002) has integrated the concept of fuzzy theory into CRR model to establish Fuzzy Binomial Tree Option Pricing Model (FBTOPM), which fuzzified the “Up” and “Down” jumping of stock prices, there is still a gap between the “triangular fuzzy number” derived from FBTOPM and the market real price. Like conventional pricing models, FBTOPM is also attributed to system bias. Based on Yu’s FBTOPM, this study intends to take into consideration the volatility of “Horizontal” jumping of stock prices and to fuzzify that volatility by establishing Fuzzy Trinomial Tree Option Pricing Model(FTTOPM) with a hope to see if the triangular fuzzy number derived from this model can be closer to the market real price. This study found that taking into consideration the volatility ”Horizontal” of stock prices in this model can substantially improve the problem of system bias and derive a triangular fuzzy number that is closer to the market real price. In addition, this FTTOPM provides more suitable option pricing for different risk preference as investment strategy references.
6
Huang, Hsien-Chun, and 黃顯鈞. "A Trinomial Tree for the CIR model." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/6566c7.
Full textAbstract:
碩士國立臺灣大學
資訊工程學研究所
107
The Cox–Ingersoll–Ross (CIR) model is a popular short rate model. Nawalkha and Beliaeva propose a trinomial tree for the CIR model to price zero-coupon bonds efficiently. This thesis proposes a different trinomial tree based on Dai and Lyuu. This results in smoother convergence.
7
Chen, Cung-Ting, and 陳俊廷. "Pricing Warrants with Credit Risk─Trinomial Tree Model." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/95103389998131469336.
Full textAbstract:
碩士世新大學
財務金融學研究所(含碩專班)
93
In the realistic investment environment, diversification of the financial goods and the complicating of economic system, often make the risk that investors face greatly increase, among them the most direct one is the credit risks of warrant issuer. There is no adequate margin settlement mechanism for prevailing covered warrant in Taiwan, and thus the credit risks of warrant issuer must be considered when investors evaluate the price of covered warrant. This thesis applies Klein’s (1996) vulnerable option valuation model and using the trinomial tree model to pricing vulnerable warrant. Besides, this thesis will also compare the difference of empirically result among the simulate value, Klein’s (1996) vulnerable option price, Black & Scholes option price and the market price of warrant by using the domestic American warrant data.
8
HUANG, CHEN HUI, and 陳輝煌. "The Valuation of Taiwan Catastrophe Index Option With Hull and White''s Trinomial Tree Model." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/79754689202283629513.
Full textAbstract:
碩士實踐大學
企業管理研究所
89
Due to the shortage of international reinsurance capacity, the high development of insurance risk exchange and catastrophe insurance derivatives has been treated a good resolution. These related products, as catastrophe futures, catastrophe index options and catastrophe bonds, have payoffs that depend on indices measured insured losses from catastrophe events in specific geographical regions. In principle, insures can use these securitized styles to transfer their regional exposure to numerous international investors. After adopting the concepts of catastrophe risk securitization, we also concern whether the framework is acceptable. Additionally, due the losses cap, mean-reverting and jump-diffusion characteristics, we make use of trinomial tree of Hull and White（1996）combined with jump-diffusion process of Merton（1976）to follow the related behaviors, then to estimate the suitable value and analyze their relative sensitivity of catastrophe index claims. As shown in the result, the mean-reverting behavior of Taiwan catastrophe losses series would lead to reduce the call value and sensitivity which was estimated by Black-Scholes option pricing model. The jump behavior would derive losses index to rise quickly, and the related sensitivity would be more stable and smaller in comparison with Hull and White Model.
9
Huang, Wen-Jie, and 黃文潔. "Pricing of Convertible Bond with Correlation between Interest Rate and Stock Price under Recombining Trinomial Tree Model." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/60220616632253060100.
Full textAbstract:
碩士國立臺灣大學
國際企業學研究所
98
Abstract This thesis discusses the pricing of convertible bonds, especially when the correlation of interest rate and stock price should be considered. In addition, I also take default risk into consideration. The interest rate model considered in the thesis follows the Hull-White tree model to fit initial term structure and limited upside or downside bound on interest rate tree, and the stock tree process is simulated by the trinomial tree model in Kamrad and Ritchken (1991). Two kinds of methods to determine the default intensity are discussed in this thesis: first is based on the credit spreads of risky corporate bonds, and the other is based on the credit migration probabilities for different credit levels. Furthermore, this thesis also ensures that the length of the time step is small enough such that the branching probabilities are valid in this model. Then I provide real numerical sensitivity analysis to see how our model behaves. At the end, I conclude and show what can be improved to our model when pricing CBs.
10
Cheng, Wen-Chieh, and 鄭文杰. "Valuation of Callable Accreting Interest Rate Swaps: Comparison between the Least-Squares Monte-Carlo Method and Trinomial Tree under Hull-White Interest Rate Model." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/a42rtn.
Full textAbstract:
碩士國立政治大學
金融學系
107
This paper discusses two problems based on Hull-White term structure model as follow: (i) How to conduct a valuation of callable accreting interest rate swap(CAIRS) ? (ii) CAIRS is a type of widely used risk management instruments for zero callable bonds (ZCB) . Is it suitable enough to hedge risks of zero callable bond? First, CAIRS can be decomposed into accreting payer interest rate swaps and Bermudan swaptions. Considering financial valuation of both components, the former can be directly valued by the pricing formula, while the latter has no close form due to its early exercise characteristics. In order to solve the problem, the approaches here include LSM method in Longstaff and Schwartz (2001) and trinomial tree in Hull and White (1994) . We find out that the two options embedded in ZCB and CAIRS have same exercise strategy since the terms of the swaps will consist with the bonds in practice. However, the cash flow of risk management in swaps and bonds can be different when considering the discount of time value. Hence, CAIRS are not the best financial instrument for managing risks of zero callable bonds under current design.
11
CHANG, JING-FEN, and 張菁芬. "A comparison of binomial-tree and trinomial-tree interest-rate models." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/74856014911407586010.
Full textAbstract:
碩士國立臺灣大學
國際企業學系
85
Dynamic interest rate models play an important role in pricing interest rate sensitive securities. The raise of interest rate risk caused by financial liberalization has enhanced the demand for hedging instruments. To reflect market need, dynamic interest rate models have made significant progress during the past 20 years. These models are usually used in transactions, portfolio management, risk control and other application. This research compares a binomial tree model-Black, Derman and Toy (1990) model, and a trinomial tree model-Hull and White (1993) model. Both of them are no-arbitrage models. They can be used not only in pricing interest rate sensitive securities, but also in forecasting spot rates in the future. We design a computer program for expanding the trees. Using Taiwan fixed-income security market data and suitable parameters, we compare the performances of the two models. The conclusion is that Hull and White model have a better result under the circumstances of Taiwan. In the light of the empirical result, this research also discusses the assumptions and restrictions of the two models in order to better address their applicability in Taiwan.
12
Chang, Yuan-Feng, and 張元豐. "Convertible Bond Pricing Model Under Credit Risk-Using Trinominal Tree." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/eja97h.
Full textAbstract:
碩士銘傳大學
財務金融學系碩士班
95
Base on many default events in convertible bond market recently, We hope to structure a new pricing model for convertible bond. Comparing with actual price in market, we hope to correctly price convertible bond it should be when take default risk into consideration. We will use Merton model with grid research method to get market value of firm, default risk and discount rate of default risk to cash flow of convertible bond. Using the discount model provided by Hung and Wang(2002) to discount convertible bond. Pricing outcome show that the theoretical price of convertible bond under credit risk would lower than market price. But incorrect recovery rate will make discount rate unreasonable and make the price after discount over revise. In addition, Merton model to consider credit risk is a European option pricing model, only get the default probability at expiration but can’t get default probability at putable date, it make theoretical price higher than market price.
13
Chiang, Chung-Chien, and 姜仲倩. "The Application of Hull and White Trinomial Interest Rate Trees Models." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/45616633197938284378.
Full text
14
Lin, Dun-Shun, and 林敦舜. "The Study of Pricing for Taiwan Call Warrants－the Pricing Differences between Binomial Trees Model and Trinomial Trees Model." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/76352106163389167847.
Full textAbstract:
碩士國立交通大學
經營管理研究所
90
This study adopts three option pricing models ( Black-Scholes model, binomial trees model and trinomial trees model ) with the historical volatility and the implied volatility to price the Taiwan call warrants. We hope to find out the pricing model that is fitting in with Taiwan warrants market. In addition, we study the number of time steps of trees models to understand the pricing outcomes of different number of time steps. The findings are as follows : All pricing models with the historical volatility underestimate warrants obviously, but they obtain a better pricing performance with the implied volatility. Black-Scholes model with the implied volatility is the best pricing model and having the best pricing performance. Using the historical volatility, trees models of different number of time steps have not a regular pricing performance; But using the implied volatility, trees models have a better pricing performance when the number of time steps is bigger, and trinomial trees model is better than binomial trees model.
15
Hong-yiu, Lin. "Fast Fourier Transform with Applications to Pricing Discrete European Barrier Options under Binomial and Trinomial Tree Models." 2006. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-2806200614570000.
Full text
16
Lin, Hong-yiu, and 林虹佑. "Fast Fourier Transform with Applications to Pricing Discrete European Barrier Options under Binomial and Trinomial Tree Models." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/19639656494687507249.
Full textAbstract:
碩士國立臺灣大學
資訊工程學研究所
94
A derivative is a financial instrument which is constructed from other more basic underlying assets, such as bonds or stocks. With the dramatic growth of the derivatives markets, more and more derivatives have been designed and issued by financial institutions. This thesis presents a method that can be used to speed up the pricing of discrete European barrier options under binomial and trinomial tree models. Binomial tree and trinomial tree are two common and efficient models for pricing options. However, in practice, almost all barrier options are discretely monitored and the refection principle no longer works. It seems that the only way to price discrete barrier options is to traverse the whole tree, which takes quadratic time. This thesis gives the first subquadratic-time algorithm for the problem.