政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/30040

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/30040

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政大典藏 > College of Commerce > Department of International Business > Theses > Item 140.119/30040

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30040

Title:	匯率連動階梯選擇權之評價與分析
Authors:	陳柏全
Contributors:	胡聯國陳柏全
Keywords:	匯率連動階梯選擇權新奇選擇權
Date:	2006
Issue Date:	2009-09-11 17:06:53 (UTC+8)
Abstract:	Eric Reiner（1992）說明投資人於跨國投資時，不僅會考慮外國資產本身的風險，亦會關切匯率風險，因而提出了匯率連動選擇權，可因應投資人的需求作規避與保護。階梯選擇權具鎖定曾上漲（下跌）所獲得利潤的特性，可幫助投資人避免因為一時的錯誤預期導致錯失買賣時機，大幅損失原有獲利甚至蝕本的窘境，只要達成期初設定條件，就能保證部分利潤獲得的保證。本論文結合以上兩種選擇權，針對匯率連動階梯選擇權，推導出評價結果以及分析其價格與風險特徵。
Reference:	陳松男（民國94年），金融工程學：（二版），新陸書局李佳憓（2002），“新型匯率連動選擇權之設計與評價”，國立政治大學金融研究所姜一銘（2004），“兩種匯率連動金融商品之研究”，國立政治大學金融研究所薛兆雯（2002），“匯率連動極大值選擇權”，國立政治大學國際貿易研究所鄭鳳銘（2000），“階梯選擇權之評價避險與應用”，國立臺灣大學財務金融學研究所 Black, F. and M. Scholes（1973）, “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy 81, pp637-654. Harrision, M. and D. Krep（1979）, “Martingales and Arbitrage in Multi-period Securities Markets”, Journal of Economic Theory, 20, pp381-408. Harrision, M. and S. Pliska（1981）, “Martingales and Stochastic Integrals in the Theory of Continuous Trading”, Stochastic Processes and Their Applications, 11, pp215-271. Heynen, R. and H. Kat, “Crossing Barriers”, Over the Rainbow（1995）, Chapter 26. Karatzas, I. and S. Shreve（1991）, “Brownian Motion and Stochastic Calculus”, 2nd Ed, Springer-Varlag. Musiela, M. and M. Rutkowski（1997）, “Martingale Methods in Financial Modelling”, Springer. Reiner, E.（1992）, “Quanto Mechanics”, Risk（March）. Street, A.（1992）, “Stuck Up a Ladder”, RISK（52）, 43-44.
Description:	碩士國立政治大學國際經營與貿易研究所 93351038 95
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0093351038
Data Type:	thesis
Appears in Collections:	[Department of International Business] Theses

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