政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/85826
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113325/144300 (79%)
造访人次 : 51171418      在线人数 : 934
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/85826


    题名: 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
    作者: 何銘銓
    Ho, Ming-chuan
    贡献者: 胡聯國
    Len-kuo Hu
    何銘銓
    Ming-chuan Ho
    关键词: 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
    日期: 1998
    上传时间: 2016-04-20 17:15:36 (UTC+8)
    摘要: 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.
    參考文獻: 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.
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    86351013
    資料來源: http://thesis.lib.nccu.edu.tw/record/#B2002001510
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

    文件中的档案:

    档案 大小格式浏览次数
    index.html0KbHTML2284检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    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 ©   - 回馈