政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/3711

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政大典藏 > College of Commerce > Department of Money and Banking > NSC Projects > Item 140.119/3711

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/3711

Title:	多層重設型選擇權之訂價及避險策略
Other Titles:	Pricing Reset Options with Multiple Resets and Hedging Strategies
Authors:	廖四郎
Keywords:	重設選擇權;多層重設履約價;Delta 波浪;Gamma 波浪 Reset Options;Multiple Strike Resets;Delta waviness;Gamma waviness
Date:	2002
Issue Date:	2007-04-18 16:34:42 (UTC+8)
Publisher:	臺北市：國立政治大學金融系
Abstract:	本研究推導出含有 m 個重設履約價及 n 個事先決定重設日之重設選擇權封閉解，並且也推導出其在連續重設時間下的公式解。我們發現重設選擇權不僅有 Delta 和 Gamma 跳躍的現象，而且其在重設日期前存在有 Delta 和 Gamma 波浪現象。另外，當股價接近重設履約價且時間接近重設日期時， Delta 和 Gamma 有可能為負。 This research provides the closed-form pricing formulas of reset options with m strike resets and n pre-decided reset dates. The exact closed-form pricing formulas of reset options with m strike resets and continuous reset period are also derived. Also, we find that the reset options not only have the phenomena of Delta jump and Gamma jump across reset dates, but also have the properties of Delta waviness and Gamma waviness, especially near the time before reset dates. Furthermore, Delta and Gamma can be negative when the stock price is near the strike resets at the times close to the reset dates.
Description:	核定金額：536800元
Data Type:	report
Appears in Collections:	[Department of Money and Banking] NSC Projects

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