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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/31253


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/31253


    Title: 能源與貴金屬連結及利率連結之結構型商品評價與分析─以中國銀行結構性存款為例
    The Pricing and Analysis of Commodities-Linked and Interest Rate-Linked Structured Products: The Case Study of Structured Deposits Launched by Bank of China
    Authors: 蔡昌甫
    Tsai,Chang Fu
    Contributors: 陳松男
    Chen,Son Nan
    蔡昌甫
    Tsai,Chang Fu
    Keywords: 複合式選擇權
    每日區間計息
    結構性存款
    幾何布朗運動
    均數回歸
    LIBOR市場模型
    最小平方蒙地卡羅法
    compound option
    range accrual deposit
    BGM Model
    Geometric Brownian Motion
    Mean Reversion
    LIBOR Market Model
    Least Squares Monte Carlo
    Date: 2007
    Issue Date: 2009-09-14 09:36:49 (UTC+8)
    Abstract: 在過去二到三年之中，能源、金屬、軟性商品等原物料價格漲勢強勁，成為市場上最炙手可熱的商品。然而，原物料價格漲升為全球帶來了通膨隱憂，世界各國紛紛採用各種貨幣政策和財政政策試圖緩解通膨壓力。其中，利率政策即是相當重要的一環。在這樣的背景之下，是否對於能源、貴金屬和利率衍生性商品的設計和定價上產生影響，值得進一步檢視。因此，本論文選擇以中國大陸的原油與黃金連結複合式選擇權，以及利率（HIBOR）連結可贖回每日區間計息等兩種結構性存款作為研究個案，以財務工程的理論模型為中國銀行的金融創新產品作評價與分析。

    在原油與黃金連結複合式選擇權部分，分別假設金價和油價服從幾何布朗運動（Geometric Brownian Motion）推導出封閉解，以及Schwartz的一因子均數回歸模型，採蒙地卡羅模擬法模擬標的資產之價格路徑並以之估算商品理論價值和發行機構利潤，之後則就避險參數和商品預期收益率作分析。在利率連結可贖回每日區間計息結構性存款部分，由於具有發行機構可提前贖回的特性，本論文採用LIBOR市場模型（BGM Model）為評價基礎，先利用市場報價資訊計算期初遠期利率及進行參數校準，再以蒙地卡羅模擬法模擬遠期利率路徑，最後以Longstaff and Schwartz（2001）提出的最小平方蒙地卡羅法（LSM）計算商品理論價值和發行機構利潤。

    除估算商品理論價值以檢視中國銀行的商品定價合理性之外，本文也針對中國大陸的外匯和利率政策對金融機構在商品設計方面的影響作分析，最後則分別就財務工程與金融創新以及總體政策與金融市場兩方面提出結論與建議，以供各界參酌。
    The prices of physical commodities have risen a lot and led to pressure of inflation for several years. Many countries over the world have tried hard to tackle inflation threat with monetary and fiscal policies. Under this circumstance, the design and pricing of structured products should be affected. Therefore, the oil and gold-linked and interest rate-linked structured deposits launched by Bank of China are selected to be the case study in this thesis.

    Prices of the underlying assets are assumed to follow Geometric Brownian Motion, and the close-form solution of the oil and gold-linked structured deposit embedded with compound options is derived. Moreover, Schwartz’s One-Factor Mean Reversion Model is adopted to derive the fair value by simulation. In addition to the fair value and issuer’s profit, the expected rate of return, hedge parameters (Greeks) and model difference are presented in this thesis. As for the interest rate-linked Callable Daily Range Accrual Deposit, the thesis presents the steps of pricing by simulation. LIBOR Market Model (BGM Model) is adopted to derive the fair value of Callable Range Deposit with Least Squares Monte Carlo approach.

    Besides, the design and pricing of structured products are actually influenced by those policies in relation to interest rates and currencies adopted by government of Mainland China. The influence is discussed in the thesis as well. Eventually, the conclusions and suggestions are made with respect to macroeconomic policy and financial market as well as financial innovation.
    Reference: 一、中文部分
    1. 中國人民銀行貨幣政策分析小組，「中國貨幣政策執行報告─2007年第1季度」，中國人民銀行，2007年5月。
    2. 王儷容、蔡昌甫、紀嘉瑜，「近期大陸金融發展情勢及因應策略之研究」，行政院大陸委員會委託研究計畫，中華經濟研究院，2008年5月。
    3. 台灣期貨交易所，「全球黃金期貨市場介紹」，2005年10月。
    4. 殷劍峰，「中國金融產品與服務報告」，社會科學文獻出版社，2007年6月。
    5. 陳松男，「利率金融工程學：理論模型及實務應用」，新陸書局，2006年1月。
    二、英文部分
    1. Al-Harthy, M., ”Stochastic Oil Price Models: Comparison and Impact”, Engineering Economist, Vol. 52（3）, pp. 269-274, 2007.
    2. Baker, M., Mayfield, S., and Parsons, J., “Alternative Models of Uncertain Commodity Prices for Use with Modern Asset Pricing Methods”, The Energy Journal, Vol. 19（1）, pp. 115-148, 1998.
    3. Bessembinder, H., Coughenour, J., Seguin, P., and Smoller, M., “Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure”, The Journal of Finance, Vol. 50（1）, pp. 361-375, 1995.
    4. Brace, A., Gatarek, D., and Musiela, M., “The Market Model of Interest Rate Dynamics”, Mathematical Finance, Vol. 7（2）, pp. 127-155, 1997.
    5. Brigo, D., and Mercurio, F., “Interest Rate Models: Theory and Practice”,Springer, 2001.
    6. Cox, J., Ingersoll, J., and Ross, S., “An Intertemporal General Equilibrium Model of Asset Prices”, Econometrica, Vol. 53（2）, pp. 363-384, 1985.
    7. Dias, M., "Monte Carlo Simulation of Stochastic Processes", Real Options Approach to Petroleum Investment（Website）, 2004.
    8. Dixit, K., and Pindyck R., “Investment under Uncertainty”, Princeton University Press, 1994.
    9. Heath, D., Jarrow, R., and Merton, A., “Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation”, Econometrica, Vol. 60（1）, pp. 77-105, 1992.
    10. Ho, T., and Lee, S., “Term Structure Movements and Pricing Interest Rate Contingent Claims”, The Journal of Finance, Vol. 41（5）, pp. 1011-1029, 1986.
    11. Holton, G., ”Value-at-Risk: Theory and Practice”, Elsevier Science, 2003.
    12. Hull, J., and White, A., “Pricing Interest-Rate-Derivative Securities”, The Review of Financial Studies, Vol. 3（4）, pp. 573-592, 1990.
    13. Kocagil, A., “Optionality and Daily Dynamics of Convenience Yield Behavior: An Empirical Analysis”, The Journal of Financial Research, Vol. 27（1）, pp. 143-158, 2004.
    14. Lewis, M., ”The Universe of Commodity Indices”, Deutsche Bank Guide to Commodity Indices, 2007.
    15. Longstaff F., and Schwartz E., “Valuing American Options by Simulation: A Simple Lease-Squares Approach”, The Review of Financial Studies, Vol. 14（1）, pp. 113-147, 2001.
    16. Piterbarg, V., “Pricing and Hedging Callable Libor Exotics in Forward Libor Models”, Journal of Computational Finance, Vol. 8（2）, pp. 65-117, 2004.
    17. Rogers, J., “Strategy, Value and Risk- The Real Options Approach: Reconciling Innovation, Strategy and Value Management”, Palgrave, 2002.
    18. Schwartz, E., “The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging”, The Journal of Finance, Vol. 52（3）, pp. 923-973, 1997.
    19. Turnbull, S., “Interest Rate Digital Options and Range Notes”, The Journal of Derivatives, Fall, pp. 92-101, 1995.
    20. Vasicek, O., "An Equilibrium Characterization of the Term Structure", Journal of Financial Economics, Vol. 5（2）, pp. 177-188, 1977.
    Description: 碩士
    國立政治大學
    金融研究所
    95352027
    96
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0953520271
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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