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政大機構典藏 > 商學院 > 統計學系 > 學位論文 > Item 140.119/36666

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/36666

Title:	違約風險下四種新奇選擇權的評價 Pricing four kinds of the vulnerable exotic options
Authors:	林殿一 Lin, Tien-Yi
Contributors:	陳松男蔡紋琦林殿一 Lin, Tien-Yi
Keywords:	違約風險新奇選擇權數據選擇權寬它選擇權互換選擇權極值選擇權 Exotic options Credit risk Digital options Quanto options Exchange options Extreme-value options Default risk
Date:	2001
Issue Date:	2009-09-18 19:09:45 (UTC+8)
Abstract:	本論文推導違約風險下四種新奇選擇權的評價模型及其避險比率，依序為數據選擇權、寬它選擇權、互換選擇權，極值選擇權。並比較無違約風險與違約風險下的評價模型之差異。假若違約風險不存在時，違約風險下各種類型選擇權的評價模型皆會縮減成為無違約風險下所對應的評價模型。避險比率亦為如此。數值範例則印證違約風險下選擇權的價值較無違約風險選擇權的價值低。本論文完成目前尚無任何學術研究於違約風險下四種新奇選擇權的評價模型及避險比率。這是一個重要貢獻。關鍵詞：違約風險、新奇選擇權、數據選擇權、寬它選擇權、互換選擇權、極值選擇權。 This paper presents the analytic pricing formula and the hedging ratio of four kinds of exotic options with correlated credit risk. They are Digital options, Quanto Options, Exchange Options and Extreme-value Options, respectively. Furthermore, compare the discrepancy of the models under the condition whether the default risk exists. Finding that if there is no default risk, all models that we derive will reduce to the corresponding models with no default risks, and so do the hedging ratio. Numerical examples certify that the value of the vulnerable options will be lower than that of the ordinary options. All above that finished has not been done by existing researches and it is a chief contribution in this paper. Keywords: Exotic Options, Credit Risk, Digital Options, Quanto Options, Exchange Options, Extreme-value Options, Default Risk.
Description:	碩士國立政治大學統計研究所 88354010 90
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G91NCCU1952012
Data Type:	thesis
Appears in Collections:	[統計學系] 學位論文

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