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금리구조화상품의 가치평가를 위한 Extended LSMC에 관한 연구

Title
금리구조화상품의 가치평가를 위한 Extended LSMC에 관한 연구
Other Titles
An Optimal Selection of the basis Functions for the Valuation of Interest Rate Structured Notes
Author
이상빈
Keywords
구조화상품; 옵션가격결정; 기저함수; 조기행사; 계속가치; Structured Notes; Option Pricing; Basis Function; Early Exercise; Continuation Value
Issue Date
2014-11
Publisher
한국파생상품학회(구 한국선물학회)
Citation
선물연구,Vol.22 No.4 [2014], 637-674(38쪽)
Abstract
몬테카를로 시뮬레이션(Monte Carlo Simulation, MCS)을 이용하여 옵션의 계속가치를 평가하기 위한 방법으로 Longstaff and Schwartz(2001)는 최소자승추정 몬테카를로 시뮬레이션(least square monte carlo simulation, LSMC)을 소개하였고, Huge and Rom-Poulsen(2007)은 LSMC의 옵션가치 추정오차를 감소시키는 방법(Extended LSMC)을 제안하여 더욱 발전시켰다. 본 연구는 Hull and White(1990)와 Extended LSMC를 이용하여 조기상환조건이 있는 callable Range Accrual Note(CRAN)를 평가하는 방법을 제안하였다. 나아가 본 연구에서는 기초자산 가격과 계속가치를 추정하기 위한 각 단계에서 이들 추정대상의 설명력을 높일 수 있는 기저함수에 대해 분석한 후 기저함수의 선택에 따른 추정결과의 차이를 비교하였다. 기저함수에 대한 분석을 위해 CRAN을 고정금리채권과 지연디지털옵션의 포트폴리오로 정의하고, 각각의 해석 공식(analytic formula)을 이용하여 RAN의 기저함수로 상수항, 순간이자율, 그리고 Range를, 계속가치의 기저함수로는 상수항, RAN, 그리고 Range를 선택하여 그 추정결과의 차이를 분석하고 개선효과를 도출한다. This paper examines which basis functions are efficient to employ a combined method of Hull and White (1990) with the Monte Carlo simulation when we price a callable range note or a callable bond. We use the Huge and Rom-Poulsen (2007) method which has modified the least squared Monte Carlo simulation proposed by Longstaff and Schwartz (2001) to reduce the estimation errors of the continuation value or the underlying assets. To use Monte carlo Simulation for pricing the early exercise premium, it is essential to accurately estimate the continuation value, because the investors will choose the higher value between the exercise and the continuation value at the possible early exercise dates. The main purpose of this paper is to analyze the estimation errors originating from the choice of the basis functions for the underlying asset and the continuation value estimation. We choose the callable bond and the callable range accrual note to show which basis functions are reliable to reduce the estimation errors. For this purpose, we replicate the callable range accrual note with a portfolio of a fixed rate bond and a delayed digital option. We use several basis functions such as a constant, the instantaneous interest rates, and the range in order to see which basis function is efficient for our purpose. We examine several combinations of the basis functions depending on which basis functions will be used for the underlying asset or the continuation value estimation. We show that the range which is an important determinant of the callable range accrual note is an effective basis function to accurately determine the underlying asset and the continuation value for the pricing of the callable range accrual note.
URI
http://uci.or.kr/G704-000929.2014.22.4.004http://hdl.handle.net/20.500.11754/48778
ISSN
1229-988X
Appears in Collections:
GRADUATE SCHOOL OF BUSINESS[S](경영전문대학원) > ETC
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