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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/31191


    Title: 波動度微笑之LM模型應用與結構型商品評價與分析-以匯率連動商品為例
    Authors: 陳益利
    Chen, Yi Li
    Contributors: 陳松男
    陳益利
    Chen, Yi Li
    Keywords: 外匯選擇權
    波動度微笑
    Lognormal Mixture模型
    Shifting LM模型
    LMDM模型
    結構型商品
    FX Option
    Volatility Smile
    Lognormal Mixture Model
    Shifting LM Model
    LMDM Model
    Structure Notes
    Date: 2008
    Issue Date: 2009-09-14 09:30:17 (UTC+8)
    Abstract: 本篇論文共分為兩部分，第一部份是以每年交易量非常大的外匯選擇權（FX Option）市場以及台指選擇權為例，以Brigo 及Mercurio這兩位學者於2000年提出的Lognormal Mixture model (簡稱LM model)為基礎，捕捉選擇權市場中典型的波動度微笑（Volatility smile）曲線之特性。第二部份係商品評價之應用，是以大陸地區發行的匯率連動結構型商品（Structure Notes）為主。

    第一部份中我們分別採用LM 模型（Lognormal Mixture Model）、Shifting LM模型（Shifting Lognormal Mixture Model）及LMDM模型（Lognormal Mixture with Different Mean Model）等三種模型，用以衡量其實際上在外匯選擇權市場及台指選擇權中波動微笑曲線校準的準確性。結果顯示LM模型、Shifting LM模型及LMDM模型均能有效地反應並捕捉出選擇權市場中波動度微笑曲線之特性，而其中又以LMDM模型的效果最佳，其無論在波動度校準或是選擇權價格評價上的誤差均最小。

    第二部分是以「中國銀行匯聚寶0709G掛鉤美元兌加元匯率之加元產品」的匯率連動結構型商品為例，以Garman and Kohlhagen（1983）外匯選擇權模型求出其封閉解並作發行商期初利潤分析，然後再用蒙地卡羅模擬法進行投資人期末報酬分析。此外，亦針對此種商品的敏感性與避險參數作分析。
    Reference: 中文部分：
    1.陳松男(2004)，結構型金融商品之設計及創新，新陸書局
    2.陳松男(2005)，結構型金融商品之設計及創新（二），新陸書局
    3.陳松男(2005)，金融工程學（二版）：金融商品創新與選擇權理論，新陸書局
    4.陳威光(2001)，選擇權－理論、實務與應用，智勝文化
    5.陳威光(2001)，衍生性金融商品－選擇權、期貨與交換，智勝文化
    6.董夢雲(2005)，財務工程與Excel VBA的應用－選擇權評價理論之實作，新陸書局
    7.吳佳貞(1997)，波動度預測模型之探討，政大金融所碩士論文
    8.曹金泉(1999)，隨機波動度下選擇權評價理論的應用－以台灣認購權證為例，政大金融所碩士論文
    9.謝嫚綺(2003)，結構型債券之評價與分析，政大金融所碩士論文
    10.任紀為(2005)，外匯選擇權的定價－馬可夫鏈蒙地卡羅法(MCMC)之績效探討，政大企管所碩士論文
    11.李映瑾(2006)，結構型商品之評價與分析－每日計息雙區間連動及匯率連動債券，政大金融所碩士論文
    12.曾昱璟(2008)，中國大陸結構型商品之評價與分析－每日計息利率連動及A股多資產股權連動理財產品，政大金融所碩士論文
    13.顏忠田(2008)，結構型商品評價與分析－以逆浮動利率連結商品與匯率連結商品為例，政大金融所碩士論文
    英文部分：
    1.Bollen,N.P.B.(1998)“Valuing Options in Regime-Switching Models”, Journal of Derivatives, Vol.6, P38-49
    2.Bollen, N.P.B., Gray, S.F. and Whaley, R.E.(2000)“Regime switching in foreign exchange rates: Evidence from currency option prices”, Journal of Econometrics, Vol.94, P239-276
    3.Brigo, D., and F. Mercurio(2000)“A mixed-up smile”, Risk, September, P123-126
    4.Brigo, D., and F. Mercurio(2001)“Interest Rate Models: Theory and Practice”, New York: Springer-Verlag, P183-236
    5.Brigo, D., and F. Mercurio(2002)“Lognormal-Mixture Dynamics and Calibration to Market Volatility Smiles”, International Journal of Theoretical and Applied Finance, Vol.5, P427-446
    6.Brigo, D., F. Mercurio and Giulio S.(2003)“Alternative asset-price dynamics and volatility smile”, Quantitative Finance, Vol.3, P173-183
    7.Brigo, D., and F. Mercurio(2004)“Smile at the uncertainty”, Risk, May, P97-101
    8.Campa, J.M. and Chang, P.H.(1995)“Testing the expectations hypothesis on the term structure of volatilities in foreign exchange options”, Journal of Finance, Vol.50, P529-547
    9.Duan, J.(1995)“The GARCH Option Pricing Model”, Mathematical Finance, Vol.5, P13-32
    10.Duan, J. and Wei, J.(1999)“Pricing Foreign Currency and Cross-Currency Options Under GARCH”, Journal of Derivatives, Vol.3, P51-63
    11.Garman, M. B., and S. W. Kohlhagen(1983)“Foreign Currency Option Values”, Journal of International Money and Finance, 2, P231-237
    12.Gesser, V. and Poncet, P.(1997)“Volatility Patterns Theory and Some Evidence From the Dollar-Mark Option Market”, Journal of Derivatives, Vol.7, P46-61
    13.Hull, J. and White, A.(1987)“The pricing of options on assets with stochastic volatilities”, Journal of Finance, Vol.42,P281-300
    14.Heston, S.(1993)“A Closed-Form Solution for Options with Stochastic Volatility with Application”, Review of Financial Studies, Vol.6, P327-343
    15.Heston, S. and Nandi, S.(2000)“A Closed-Form GARCH Option Valuation Model”, Review of Financial Studies, Vol.13, P585-625
    16.Hagan, P.S., Kumar, D., Lesniewski, A.S. and Woodward, D. E.(2002)“Managing smile risk”, Wilmott, September, P84-108
    17.Xu, X. and Taylor, S. J.(1994b)“The Term Structure of Volatility Implied by Foreign Exchange Options”, Journal of Financial and Quantitative Analysis, Vol.29, P57-74
    Description: 碩士
    國立政治大學
    金融研究所
    95352004
    97
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0095352004
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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