政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/33970
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113393/144380 (79%)
Visitors : 51241130      Online Users : 902
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/33970


    Title: 兩種匯率連動金融商品之研究
    Authors: 姜一銘
    Jiang, I-Ming
    Contributors: 陳松男
    Chen ,Son-Nan
    姜一銘
    Jiang, I-Ming
    Keywords: 匯率連動選擇權
    遠期生效亞洲選擇權
    重設型賣權
    新奇選擇權
    Quanto Options
    Forward-Start Asion Options
    Reset Put Options
    Exotic Options
    Date: 2003
    Issue Date: 2009-09-17 18:58:06 (UTC+8)
    Abstract: 論文摘要


    Reiner（1992）說明投資人對他國投資股票時，除了關心外國股價風險外，也關切匯率變動的風險，所以他提出了匯率連動選擇權，來規避匯率風險。另外，對於規避股價風險方面，Bouaziz, Briys and Crouhy（1994；以下簡稱BBC（1994））為了防止商品受人為操縱或其他原因而產生不合理的股價風險，提出遠期生效亞洲選擇權。以及Gray及Whaley（1999）提出了重設型賣權，它不但具有一般賣權的基本特徵，也能使投資人於購買股票時，同時買進一個重設型賣權。它不但可規避股價下跌的風險，在股價上升時，因賣權的重設使得保險的底值（Floor）向上提昇而鎖住股價上漲的資本利得。

    本論文分別結合上述兩種選擇權的特徵（規避匯率風險與股價風險）而設計出兩種新金融商品，分別是：「匯率連動遠期生效亞洲選擇權」與「匯率連動重設型賣權」。它們的優點為：（1）可提供投資人同時對外國股價風險及匯率風險進行避險。（2）同時，評價模型的簡單化（類似Black-Scholes模型）以及避險操作的簡易性，使發行券商（或銀行）可獲得風險控管，因此可降低避險損失，提昇利潤。
    Reference: 參考文獻
    Black, F. and M. Scholes（1973）, “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy 81, pp637-654.
    Bouaziz, L., E. Briys and M. Crouhy（1994）, “The Pricing of Forward-Starting Asian options”, Journal of Banking and Finance 18, pp823-839.
    Brennan, M. J., and E. S. Schwartz（1978）, “Finite Difference Method and Jump Processes Arising in the Pricing of Contingent Claims”, Journal of Financial and Quantitative Analysis 13, pp461-474.
    Cheng, W. and S. Zhang（2000）, “The Analytics of Reset Options”, Journal of Derivatives, 8, pp59-71.
    Conze, A. and Viswanathan（1991）, “European Path Dependent Options： The Case of Geometric Averages”, Finance 12, pp7-22.
    Cox. J. C., Ross, S. and Rubinstein, M.（1979）, “Option Pricing： A Simplified Approach”, Journal of Financial Economics 7, pp229-106.
    Duffie, D.（1988）, “Security Markets：Stochastic Models”, New York: Academic Press.
    Gray, S. F. and R. E. Whaley（1997）, “Valuing S&P 500 Bear Market Reset Warrants with a Periodic Reset”, Journal of Derivatives, 5, pp99-106.
    Gray, S. F. and R. E. Whaley（1999）, “Reset Put Options：Valuation, Risk Characteristics, and an Application”, Australian Journal of Management, 24, pp1-20.
    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.
    Karatzas, I. and S. Shreve（1991）, “Brownian Motion and Stochastic Calculus”, 2nd Ed, Springer-Varlag.
    Kemna, A. and T. Vorst（1990）, “A Pricing Method for Options Based on Average Asset Values”, Journal of Banking and Finance 14, pp113-129.
    Klebaner, F. C.（1998）, “Introduction to Stochastic Calculus with Applications”, Imperial College Press.
    Levy, E.（1992）, “Pricing European Average Rate Currency Options”, Journal of International Money and Finance 11（5）, pp474-491.
    Merton, R. C.（1973）, “The Theory of Rational Option Pricing”, Bell Journal of Economics and Management Science, 4, pp141-183.
    Milesky, M. A. and S. E. Posner（1998）, “Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution”, Journal of Financial and Quantitative Analysis 33（3）, pp409-422.
    Musiela, M. and M. Rutkowski（1997）, “Martingale Methods in Financial Modelling”, Springer.
    Nelken, I.（1998）, “Reassessing The Reset”, Risk（October）.
    Reiner, E.（1992）, “Quanto Mechanics”, Risk（March）.
    Tsao, C. Y., C.C. Chang, and C. G. Lin（2003）, “Analytic Approximation Formulate for Pricing Forward-starting Asian Options”, Journal of Futures Markets, Vol. 23（5）, pp487-516.
    Turnbull, S. M. and L. MacDonald Wakeman（1991）, “A Quick Algorithm for Pricing European Average Options”, Journal of Financial and Quantitative Analysis 26（3）, pp377-389.
    Whaley, R. E.（1994）, “Derivatives on Market Volatility： Hedging Tools Long Overdue”, Journal of Derivatives, 1, pp71-84.
    Zhang, P.（1997）, “Exotic Options”, World Scientific Publishing.
    Description: 博士
    國立政治大學
    金融研究所
    88352505
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0088352505
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

    Files in This Item:

    File Description SizeFormat
    35250501.pdf18KbAdobe PDF21173View/Open
    35250502.pdf30KbAdobe PDF24537View/Open
    35250503.pdf214KbAdobe PDF21610View/Open
    35250504.pdf292KbAdobe PDF21138View/Open
    35250505.pdf17KbAdobe PDF21167View/Open
    35250506.pdf85KbAdobe PDF2954View/Open
    35250507.pdf45KbAdobe PDF2933View/Open
    35250508.pdf20KbAdobe PDF21027View/Open
    35250509.pdf82KbAdobe PDF2986View/Open
    35250510.pdf85KbAdobe PDF21111View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback