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원유선물을 기초자산으로 하는 파생결합증권(DLS)의 가치평가
- Alternative Title
- Valuation of Derivative-Linked Securities(DLS) with Crude Oil Futures as Underlying
- Author(s)
- JIN MEIXIANG
- Advisor
- 심규철
- Department
- 일반대학원 금융공학과
- Publisher
- The Graduate School, Ajou University
- Publication Year
- 2020-08
- Language
- kor
- Keyword
- Schwartz and Smith; 몬테 카를로; 원유선물; 칼만 필터; 파생결합증권
- Abstract
- 본 논문에서는 기초자산을 원유선물로 하는 DLS상품의 가치평가에 대해 연구하였다. 기초자산의 확률과정이 보유편익률과 환위험 조정을 고려한 GBM모형인 경우와 단기(short-term) 편차에 평균회귀(mean reversion)를 고려하고 장기(long-term) 균형 레벨을 가정한 Schwartz and Smith(2000) 2요인 모형을 이용하여 만기가 다른 Step down 원금 비보장형 파생결합증권의 가치평가를 하였다. Schwartz and Smith 모형에서 모수 추정 방법은 칼만 필터를 사용하였고 시뮬레이션 방법은 몬테 카를로를 사용하였다. 그 결과 세 DLS 모두Schwartz and Smith모형을 이용하였을 때 가치가 더 크게 나왔다.
- Alternative Abstract
- The purpose of this study is to value Derivative-linked Securities with crude oil futures as underlying. GBM model which is concerned with convenience yield and exchange risk adjustment and Schwartz and Smith two factor model which assumed a short-term deviation with mean reversion and long-term equilibrium price level were used to value the Derivative-Linked securities. Kalman Filter were used to estimate parameters in Schwartz and Smith model and Monte Carlo Simulation were used to value the DLS. As a result, in both three DLS, the value were bigger when used Schwartz and Smith model.
- Fulltext
- Appears in Collections:
- Graduate School of Ajou University > Department of Financial Engineering > 3. Theses(Master)
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