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政大典藏 > College of Commerce > Department of Money and Banking > Periodical Articles > Item 140.119/7410

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/7410

Title:	探討可降低權利金之簡單權證創新及評價
Other Titles:	On Creating and Pricing Premium Reducible Simple Warrants
Authors:	陳松男
Keywords:	減縮部分權利金的權證、上限型權證、局部支付型權證、抵付型權證。 Call Options With Proportional Payoff, Capped Calls, Payoff Segment Calls, Deductible Calls.
Date:	2001
Issue Date:	2008-11-14 12:11:45 (UTC+8)
Abstract:	受到投資人的歡迎。本論文將詳細介紹幾種可降低權利金的簡單新權證，並以Martingale Pricing 的方法推導出各種新權證的封閉解評價模型，同時推導出相關的避險參數。本論文的方法可進一步應用於其他可降低權利金的新權證創新，不但投資人受益，發行券商也因新權證評價模型的簡單化以及類似Black-Scholes 避險操作的簡易性，而能獲得更佳的風險控管，降低避險損失，提升利潤。 Several security firms have recently issued a variety of new warrants. Among them, reduced-premium warrants are highly welcomed by investors. In this paper, we introduce in details several lower-premium new warrants. Each new warrant can be priced by a closed-form solution derived from martingale pricing method, and the related hedge parameters are also derived. The martingale pricing method can also be applied to other related new lowerpremium warrants. The investors will be benefited from the availability of lower-premium warrants in the market. In addition, the issuing security firms can also be benefited from the new warrants` closed-form pricing models. The hedge parameters are as simple as those of the Black-Scholes model. As a result, the issuing firms can enjoy better risk control and hence lowering hedging losses and raising profits.
Relation:	風險管理學報, 3(2), 1-25
Data Type:	article
Appears in Collections:	[Department of Money and Banking] Periodical Articles

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