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    政大機構典藏 > 商學院 > 統計學系 > 學位論文 >  Item 140.119/85139
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85139


    Title: 兩種新奇選擇權之理論應用
    Authors: 陳嘉彬
    Contributors: 陳松男
    翁久幸

    陳嘉彬
    Keywords: 風險中立評價法
    延後選擇權證
    匯率連動權證
    重設型權證
    Date: 2001
    Issue Date: 2016-04-15 16:10:10 (UTC+8)
    Abstract: 本文包含兩篇獨立文章,上篇內容為延後選擇型匯率連動權證,主要藉由風險中立評價法,以組合與拆解之觀念說明利用已知的權證類型,可以創造出更具效益之新奇權證,並對其評價與相關避險策略做進一步探討。下篇內容為重設型權證,重心在定期重設權證之風險特徵與策略應用,並以模擬一例證說明附加重設型權證之操作策略。
    Reference: Cheng, W. Y. and Zhang, S., “The Analytics of Reset Options.” The Journal of Derivatives, Fall 2000, pp.59-71.
    Cox, John, and Stephen Ross, “The Valuation of Options for Alternative Stochastic Processes.” Journal of Financial Economics, Vol. 3 (1976), pp. 145-166.
    Derman, E., D. Ergener and I. Kani, “Static Hedging Replication.” The Journal of Derivatives, Summer 1995, pp.78-95.
    Garman, Mark, and Steven Kolhagen, “Foreign Currency Option Values.” Journal of International Money and Finance, Dec. 1983, pp.231-237.
    Gary, S., and R. Whaley, “Reset Put Options: Valuation, Risk Characteristics, and an Application.” Australian Journal of Management, 1999, pp 1-20.
    ----- “Valuing S&P 500 Bear Market Warrants with A Periodic Reset.” The Journal of Derivatives, Fall 1997, pp.99-106.
    Ho, T. S., Stapleton, R. C. and Subrahmanyam, M. G., “Correlation Risk, Cross-Market Derivatives Products and Portfolio Performance.” Journal of European Financial Management , 1995, pp.105-124.
    Nelken, I., The Handbook of Exotic Options: Instruments, analysis and applications, Irwin, 1996.
    Reiner, E., “Quanto Mechanics.” From Black-Scholes to Black Holes, Risk Magazine Ltd., 1992, pp.147-154.
    Rubinstein, M., “Option for The Undecided.” Risk 4 (4), pp.43.
    Wilmott, P., J. Dewynne and S. Howison, Option Pricing-Mathematical Models and Computation, Oxford Financial Express, 1993.
    Zhang, P. Exotic Options, World Scientific Publishing, 1997.
    陳松男(2000) 選擇權投資交易策略--教戰守則,華泰書局。
    陳威光(1999) “The Valuation and Hedging of Reset Option”,中國財務學會年會。
    張佳祥、廖益誠(1999) 「回顧型重設認購權證之金融創新--最低價重設、無限層保護」,寶來金融創新期刊第八期。 warrantnet.com.tw/JFI/article/8/htm/2.htm
    張佳祥(1999) 「重設型認購權證之簡介」,寶來金融創新期刊第四期。warrantnet.com.tw/JFI/article/4/htm/9.htm
    Description: 碩士
    國立政治大學
    統計學系
    87354008
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002001352
    Data Type: thesis
    Appears in Collections:[統計學系] 學位論文

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