English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 112704/143671 (78%)
Visitors : 49780265      Online Users : 744
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/140.119/3706


    Title: 匯率連動重設型賣權
    Other Titles: Quanto Reset Put Options
    Authors: 陳松男
    Keywords: 新奇選擇權;匯率連動;重設型賣權
    Exotic option;Quanto option;Reset put option
    Date: 2003
    Issue Date: 2007-04-18 16:34:39 (UTC+8)
    Publisher: 臺北市：國立政治大學金融系
    Abstract: 針對外國投資人來設計的新金融商品時，首先我們必須考量匯率風險，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，對於股價風險而言，Gray及Whaley(1999)提出了重設型賣權，它具有一般賣權的基本特徵，使得購買股票並且同時買進一個重設型賣權的投資人來說，不會因為股價下跌而失去其原有的擔保品質。或者說重設型賣權對投資人融資購買股票提供擔保品的保護，也對股市穩定提供一些正面的效益，而不致有斷頭賣壓的出現。本研究計畫將結合上述兩種目的而設計的金融創新商品一匯率連動重設型賣權，可提供投資人同時對外國股價風險及匯率風險進行避險。不但投資人受益，發行券商或銀行不僅可獲得權利金的收入，也因評價模型的簡單化，類似Black-Scholes模型以及大部分的時間可以操作的簡易性避險，獲得風險控管，因此可降低避險損失，提昇利潤。
    To attract the interest of foreign investors, we must design financial products which incorporate the feature of hedging foreign exchange risk. As indicated by Reiner (1992), investors are concerned with not only the risk of foreign stocks, but also exchange rate risk. With this need, Reiner proposed four different types of exchange rate linked options. In addition, Gray and Whaley (1999) proposed reset put options for the purpose of hedging against the falling stock prices that will cause the downgrade of the collateral when the investors borrow to buy the stock and the stock is used as collateral. The borrowers (investors) will be protected by the reset put options in the period of falling prices since the value of the collateralized stock will be protected by the reset put options. The paper is to incorporate the features of both Reiner, and Gray and Whaley and to innovate new financial products that will attract the attention of investors who have a strong desire to hedge against both stock risk and exchange rate risk. In addition, with our research results the issuers (the security firms) will be able to know how to price and hedge these new financial products, and thereby increase their premium incomes. This is because our pricing models are the type of the Black-Scholes model. That will make it easy to hedge the risk and to reduce the loss from hedging, and thereby increase the profit.
    Description: 核定金額：407200元
    Data Type: report
    Appears in Collections:[金融學系] 國科會研究計畫

    Files in This Item:

    File Description SizeFormat
    922416H004037.pdf3386KbAdobe PDF21360View/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