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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/83095


    Title: 跨國指數連動票券新金融商品之研究：評價與避險
    The equity-linked note with cross boarder underlyings: to price and to hedge
    Authors: 葉澤興
    Yeh, Tse-Hsing
    Contributors: 胡聯國
    陳松男
    Chen, Son-Nan
    葉澤興
    Yeh, Tse-Hsing
    Keywords: 指數連動證券
    高收益票券
    多重標的
    跨國標的
    機率測度
    equity linked security
    high yield note
    quanto
    multiple asset
    Martingale
    Girsanov
    rainbow call
    spread call
    Date: 2000
    Issue Date: 2016-03-30 18:15:54 (UTC+8)
    Abstract: 到期還本的指數連動型證券為一種連結權益(equity)的債權證券，所連結的權益部分通常以隱含選擇權的方式建立。指數連動證券具有自動資產配置調整的特性，當股票市場表現不錯時，此契約給予投資人較高的股票市場風險暴露（因為股票上漲時，Delta值增加）。若股票市場表現不佳，則契約收益特徵接近債券的型式。所以是保守型投資得以參與部分股票市場表現之設計。
    Reference: 歷史文獻回顧部分
    C. Baubonis, G. Gastineau and D. Prucell (1993): " The Banker`s Guide to Equity-Linked Certificates of Deposits ", J. Derivatives,winter 1993, p87-95
    Enrique R. Arzac, "PERCS, DECS and Other Mandatory Convertibles ", The New Corporate Finance: Where Theory Meets Practice,p374-383
    K. C. Chen and R. Stephen Sears (1990): " Pricing the SPIN ", Financial Management, summer 1990, p36-47
    M. J. Brennan and E. S. Schwartz (1988): " Time-Invariant Portfolio Insurance Strategies ", J. Finance, v43 n2 1988, p283-299
    J. D. Finnerty (1993): " Interpreting SIGNs ", Financial Management, summer 1993, p34-47
    Eric Reiner (1992): "Quanto Mechanics ", From Black-Scholes to Black Holes, p147-151, Risk Magazine Ltd.
    張文毅 (民國88年): "股價連動債券上市交易之可行性探討"
    薛立言、黃共揚 (民國88年): "股價指數連動債券的設計與評價 ", 大華債券期刊第一期, p14-29
    周行一、陳威光、江明鐘(民國88年): "怡富日本美元還本收益基金的設計與行銷之個案研究", 政大商學院服務管個案集, p8-33
    陳威光、陶永青 (民國89年): "花旗銀行投資型外幣存款個案"
    評價模型研究部分
    Martin Baxter and Andrew Rennie (1996): Financial Calculus - A Introduction to derivative pricing, Ch 3 , Cambridge University Press.
    Eric Reiner (1992): "Quanto Mechanics ", From Black-Scholes to Black Holes, p147-151, Risk Magazine Ltd.
    Mark Rubinstein (1991): "One for Another ", From Black-Scholes to Black Holes, p191-194, Risk Magazine Ltd.
    K. Ravindran (1993): " Low-fat Spreads ", Over the Rainbow, p141-142, Risk Publication
    J. C. Hull (1997): Options. Futures, and Other Derivatives, 3ed, Ch 14, Ch 18, Prentice-Hall, Inc..
    黃俊銘編譯 (民國87年) ( G. Linfield and J.Penny原著 ), 數值方法-使用MATLAB程式語言, 全華科技圖書股份有限公司
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    87351028
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002002055
    Data Type: thesis
    Appears in Collections:[Department of International Business] Theses

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