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    题名: 匯率連動重設型賣權
    其它题名: Quanto Reset Put Options
    作者: 陳松男
    关键词: 新奇選擇權;匯率連動;重設型賣權
    Exotic option;Quanto option;Reset put option
    日期: 2003
    上传时间: 2007-04-18 16:34:39 (UTC+8)
    出版者: 臺北市：國立政治大學金融系
    摘要: 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.
    描述: 核定金額：407200元
    数据类型: report
    显示于类别:[金融學系] 國科會研究計畫

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