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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/3712


    Title: 延緩上限型認購權證封閉解評價模型
    Other Titles: The Closed-Form Pricing Model of Parisian Capped Warrants
    Authors: 陳松男
    Keywords: 上限型認購權證;加權平均;即時計算;買權
    Capped warrant;Weighted mean;Real-time calculation;Call
    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: 在本論文研究中,我們將會詳細推導本國類型的上限型認購權證的封閉解評價模型。此類型權證可視為一般型上出局買權及延緩上入局買權組合而成的權證。因此,我們可分別對此兩種買權進行封閉解模型的推導,而後,藉觸及機率的觀念將此兩種買權加權平均,即為台灣上限型認購權證的封閉解評價模型。本模型提供發行券商在發行此類型權證時,決定權利金的一種可靠模型,且在電腦程式設計下可迅速即時計算出權證的價格(權利金)。
    Description: 核定金額:506600元
    Data Type: report
    Appears in Collections:[金融學系] 國科會研究計畫

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