English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113303/144284 (79%)
Visitors : 50818362      Online Users : 774
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85824


    Title: 組合型認購權證之定價及避險
    Pricing and Hedging of the Basket Warrants
    Authors: 鄭翔尹
    Yiin, Cheng Shyang
    Contributors: 胡聯國
    陳松男

    鄭翔尹
    Cheng Shyang Yiin
    Keywords: 組合型認購權證
    定價
    避險
    選擇權
    Date: 1998
    Issue Date: 2016-04-20 17:15:33 (UTC+8)
    Abstract: 本研究主要針對組合型認購權證進行定價及避險的研究,希望能提供正確的評價模式及避險方式,同時又能符合時效性及方便性。由於組合型認購權證之履約標的價值是由數個對數常態分配的個股加權平均而來,故此一履約資產價值並非呈對數常態分配,因此在理論上並不能直接套用Black-Scholes評價公式,針對此一問題,本研究利用幾何平均與加權平均之間的關係,將加權平均的履約資產價格轉換為幾何平均的形式,由於對數常態分配經過幾何平均之後,仍是呈對數常態分配,因此可以借用Black-Scholes評價公式進行評價。在避險方面,本研究則根據此公式解求出一階微分﹙delta值﹚,並考慮修正權值及各股與履約組合資產間的共變數,求算出各股在建立避險部位時所應調整的持股比率。
    Reference: 參考文獻:
    1、 選擇權與期貨,陳松男博士著,1996年,三民書局。
    2、 財務經濟學,陳松男博士著,1997年,華泰書局。
    3、 陳皇仁,「台灣認購權證評價與避險操作之研究」,國立台灣大學財務金融學研究所碩士論文,1997年6月。
    4、 劉弼尹,「發行認購權證避險績效之研究」,國立台灣大學財務金融研究所碩士論文,1998年6月。
    5、 臧大年、劉慶平, 「認購﹙售﹚權證與選擇權避險策略之研究」,中華民國證券暨期貨發展基金會,1998年2月。
    6、 李佳霖,「國內已到期認購權證之分析」,寶來金融創新雙月刊第四期﹙1999﹚。
    7、 寶來地產股組合認購權證、寶來科技股組合認購權證、中信金融股組合認購權證、建弘「電子指數概念」組合型認購權證之公開銷售說明書。
    8、 Black, F., and M. Scholes. " The Pricing of Options and Corporate Liabilities ." Journal of Political Economy , 81﹙1973﹚ , 637-654.
    9、 Chriss, N. A. Black-Scholes and Beyond Option Pricing Models , Irwin , 1997.
    10、Corwin, J.; P. Boyle; and K. Tan. " Quasi-Monte Carlo Methods in Numerical Finance . " Management Science , 42﹙June 1996﹚, 926- 938.
    11、Cox, J.;S. Ross.; and M. Rubinstein. " Option Pricing : A Simplified Approach ."Journal of Financial Economics , 7﹙1979﹚, 229-263.
    12、Curran, M. " Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price . " Management Science , 40﹙Dec.1994﹚ , 1705-1711.
    13、Garman, M. B., and M. J. Klass. " On the Estimation of Security Price Volatilities from Historical Data . " Journal of Bussiness , 53﹙Jan. 1980﹚67-78.
    14、Gentle, D. " Basket Weaving . " Risk , 6﹙June 1993﹚, 51-52.
    15、Hull, J. C. Options Futures and Other Derivative Securities. Third ed. Prentice Hall﹙1997﹚.
    16、Hull, J., and A. White. "Efficient Procedures for Valuing European and American Path Dependent Options. " Journal of Derivatives , 1 ﹙Fall 1993﹚, 21-31 .
    17、Huynh, C. B. " Back to Baskets . " Risk 7﹙May 1994﹚, 59-61.
    18、Kemna, A., and A. Vorst. " A Pricing Method for Options Based on Average Asset Values . " Journal of Banking and Finance , 14﹙1990﹚,113-129.
    19、Levy, E., and S. Turnbull. " Average Intelligence . " Risk , 5﹙Feb. 1992﹚, 53-59.
    20、Levy, E. " Pricing European Average Rate Currency Options . " Journal of International Money and Finance , 11﹙1992﹚ , 474 - 491.
    21、Mohamed, B., " Simulation of Transaction Cost and Optimal Hedging . " Applied Mathematical Finance , 1﹙Oct. 1994﹚
    22、Newman, D. " Hedging Total Portfolio Value " , Corporate Finance Risk Management & Derivatives Yearbook 1995 ,19-23.
    23、Posner, S. E., and M. A. Milevsky. " Asian Options , the Sum of Lognormal and the Reciprocal Gamma Distribution . " Journal of Financial and Quantitative Analysis , 33﹙ September 1998 ﹚ 409 - 422 .
    24、Posner, S. E., and M. A. Milevsky. " A Closed-Form Approximation for Valuing Basket Options . " Journal of Derivatives , 6﹙Summer 1998﹚ , 54-61.
    25、Taleb, N. Dynamic Hedging: Managing Vanilla and Exotic Options , John Wiley & Sons,﹙1997﹚, 115-131 , 391-395.
    26、Turnbull, S., and L. Wakeman. " A Quick Algorithm for Pricing European Average Options. " Journal of Financial and Quantitative Analysis , 26﹙1991﹚, 377-389.
    27、Vorst, T. " Prices and Hedge Ratios of Average Exchange Rate Options . " International Review of Financial Analysis , 1﹙3, 1992﹚ , 179-193.
    28、Vorst, T. " Averaging Options . " In The Handbook of Exotic Options , I. Nelken, ed. Irwin﹙1996﹚, 175-193.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    86351011
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002001509
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2296View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback