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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85826


    Title: 界限選擇權訂價與避險之研究--二項評價模型之修正與靜態避險之應用
    The pricing and hedging of barrier options--the modification of CRR model and the application of static hedge
    Authors: 何銘銓
    Ho, Ming-chuan
    Contributors: 胡聯國
    Len-kuo Hu
    何銘銓
    Ming-chuan Ho
    Keywords: 界限選擇權
    二項評價模型
    靜態避險法
    靜態複製
    新奇選擇權
    蒙地卡羅模擬
    barrier option
    CRR model
    static hedging
    static replication
    exotic option
    monte carlo simulation
    Date: 1998
    Issue Date: 2016-04-20 17:15:36 (UTC+8)
    Abstract: 界限選擇權雖屬新奇選擇權的一種,但在國外卻已是交易頻繁的商品,而在國內則尚未有此一商品的交易發生。因此,為了能讓國內投資人與券商更了解此一商品,本研究便以界限選擇權為對象,針對其訂價與避險兩大主題進行研究,期能獲至有貢獻之結論。
    Barrier option is one of those exotic options, yet it has been frequently traded in the foreign options markets. In Taiwan, this commodity is still new to most of us. Consequently, for a better understand and probably the issuance of this commodity, this research focuses on the pricing and hedging of barrier options, hoping that the research can obtain contributive conclusions.
    Reference: 1. 劉明滄(1998), "靜態避險:以障礙選擇權和向後看選擇權為例", 國立中央大學財務管理研究所碩士論文。
    2. Black, F. and Scholes, M.(1973), "The Pricing of Options and Corporate Liabilities", Journal of Political Economics, Vol.81.No.3, 637-659.
    3. Cox, J. C., Ross, S. A. and Rubinstein, M.(1979), "Option Pricing: A simplified Approach", Journal of Financial Economics, Vol.7.No.3, 229-263.
    4. Boyle, P. and S.H. Lau.(1994), "Bumping Up Against the Barrier with the Binomial Method.", Journal of Derivatives, Summer, 6-14.
    5. Ritchken, P.(1995), "On Pricing Barrier Options.", Journal of Derivatives, Winter, 19-28.
    6. Rubinstein, M. and Reiner, E.(1991), "Breaking Down the Barriers", RISK, Vol.4.No.8, 28-35.
    7. Combalot, L.(1995), "Getting to Know Barrier Options", AsiaMoney, September., 33-39.
    8. Derman, E., Kani, I., Ergener, D. and Bardhan, I.(1995), "Enhanced Numerical Methods for Options with Barriers", Financial Analysts Journal, Vol.51No.6, 65-74.
    9. Derman, E. and Kani, I.(1996), "The Ins and Outs of Barrier Options: Part 1", Derivatives Quarterly, Vol.3.No.2, 55-67.
    10. (1997), "The Ins and Outs of Barrier Options: Part 2", Derivatives Quarterly, Vol.3.No.3, 73-80.
    11. Smith, C.(1995), "Exotic Options: Made to Measure", Corporate Finance, September., 16-25
    12. Bowie, J. and Carr, P.(1994), "Static Simplicity", RISK 7, 45-49.
    13. Derman, E., Ergener, D. and Kani, I.(1995), "Static Options Replication", Journal of Derivatives, Summer, 78-95.
    14. Carr, P., Ellis, K. and Gupta, V.(1998), "Static Hedging of Exotic Options", Journal of Finance, Vol.53.No.3, 1165-1190.
    15. Chriss, N. A., Black-Scholes and Beyond, IRWIN, 1997.
    16. Hull, J.C., Options, Futures, and Other Derivative Securities., 3rd ed. Englewood Cliffs, NJ:prentice-Hall, 1997.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    86351013
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002001510
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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