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| Title: | 履約價重設對匯率連動賣權之影響
The Impact of Resetting Strike Price on Prices and Risks of Quanto Options |
| Authors: | 何立凱
Ho, Li-Kai |
| Contributors: | 胡聯國
Hu, Len-Kuo
何立凱
Ho, Li-Kai |
| Keywords: | 匯率連動
多點重設型賣權
回顧型賣權
新奇選擇權
Quanto Option
Multiple-reset Option
Lookback Option
Exotic Option |
| Date: | 2007 |
| Issue Date: | 2010-12-08 13:30:16 (UTC+8) |
| Abstract: | 本論文主要結合了「匯率連動選擇權」與「多點重設型選擇權」、「履約價回顧型選擇權」，除了評價與分析四款匯率連動多點重設型賣權以及匯率連動履約價回顧型賣權，並且探討重設點之選擇對於賣權價格之影響，使其理論與模型更為一般化，發行券商或銀行欲發行此類商品時，更能夠依據模型做更進一步之風險控管，藉以降低避險損失。
For the most part, this article combines the quanto option with the multiple-reset put and lookback put. In addition to price and analyze the four specific types of quanto multiple-reset puts and quanto lookback puts, this article also provides a more comprehensive study on how the frequency of resetting in exercise price affects the quanto puts’ price and risk. When issuers issue this kind of financial product, based on the model in this article, they will be able to better control the risk further and secure the investment return by diminishing the loss of hedging. |
| Reference: | [1] Chen, S. N. (2005). Financial Engineering(2nd)
[2] Jiang, I. M. (2004). "The Research of Two Kinds of Quanto Financial Instruments." Department of Money and Banking, NCCU
[3] Black, F. and M. Scholes (1973). "The Pricing of Options and Corporate Liabilities." The Journal of Political Economy
[4] Cheng, W.-Y. and S. Zhang (2000). "The analytics of reset options." Journal of Derivatives.
[5] Conze, A. and R. Viswanathan (1991). "Path Dependent Options: The Case of Lookback Options." The Journal of Finance
[6] Garman, M. (1989). "Recollection in Tranquillity." Risk March
[7] Gray, S. F. and R. E. Whaley (1997). "Valuing S&P 500 Bear Market Warrants with a Periodic Reset." Journal of Derivatives.
[8] Gray, S. F. and R. E. Whaley (1999). "Reset put options: Valuation, risk characteristics, and an application." Australian Journal of Management.
[9] Musiela, M. and M. Rutkowski (2004). Martingale Methods in Financial Modeling(2nd), Springer.
[10] Reiner, E. (1992). "Quanto Mechanics." Risk March
[11] Shreve, S. E. (2003). Stochastic Calculus for Finance II -- Continuous-Time Models, Springer. |
| Description: | 碩士
國立政治大學
國際經營與貿易研究所
94351016
96 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0094351016 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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