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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/85938
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85938


    Title: 認購權證最適避險策略之研究
    Authors: 吳秉寰
    Wu, Alex Bing-Huan
    Contributors: 陳威光
    Chen, Wei-Kuang
    吳秉寰
    Wu, Alex Bing-Huan
    Keywords: 認購權證
    選擇權
    避險策略
    避險比率
    最適化
    Warrant
    Option
    Hedging Strategy
    Hedge Ratio
    Optimal
    Date: 1998
    Issue Date: 2016-04-22 10:20:26 (UTC+8)
    Abstract: 本篇論文採用了固定時段避險法,固定避險帶避險法,不足量避險法,Leland(1985)避險法以及Whalley & Wilmott(1993)效用極大避險法,用Monte-Carlo模擬,探討了當券商發行權證時,所面臨的避險組合調整問題。結果發現,在所有的避險策略當中,以Whalley & Wilmott(1993)效用極大避險法的避險績效最好。但是其他的方法,都一致支持保守的避險策略,即多調整避險組合,可以有效提高避險的績效。但是若我們改變交易成本,就會發現隨著交易成本的增加,調整避險組合的次數就要減少,否則過高的交易成本就會抵銷掉避險時的報酬。若我們改變股價的波動度設定,就會發現隨著波動度的增加,調整避險組合的次數也要增加,以免產生過高的避險誤差。此外,在存在漲跌幅限制的假設之下,避險績效都較無漲跌幅限制為佳,因為漲跌幅限制的存在,使得股價波動受到壓縮之故。而在實證資料方面,由於單一條股價不具代表性,因此無法作為有效的解釋。
    Reference: 中文部分
    吳壽山、周賓凰,1996,衡量漲跌幅限制對股票報酬與風險的影響,
    證券市場發展季刊,8:1,pp.1-31
    沈中華、周賓凰,1996,漲跌幅限制下股價的星期效應---Gibbs Sampler
    的應用,經濟論文,25:1,pp.21-44
    陳威光,1997,「認股權之評價」,元大期貨,pp.40-46
    陳松男,1998,「在間斷性避險及交易成本下的選擇權評價模型:以
    實務觀點修正理論」,政治大學1998財務工程暨衍生性金融商品
    理論與實務研討會。
    陳松男,1998,「一籃指權證的正確評價及避險方法」,政治大學1998
    財務工程暨衍生性金融商品理論與實務研討會。
    陳威光,1998,「認購權證價格之探討」,元大期貨,pp.57-64
    劉岳玲,1998,「認購權證發行券商避險策略之研究」,中
    山大學未出版論文。
    蔡立光,1998,「台灣市場認購權證定價模型與避險策略之研究」,
    中央大學未出版論文。
    英文部分
    Black, F., and M. Scholes, 1976 "The pricing of options and corporate liabilities",
    Journal of Political Economics 81, pp.637-654
    Boyle, P. P., and D. Emanuel, 1980 "Discretely adjusted option hedge", Journal of
    Financial Economics 8, pp.259-282.
    Boyle, P. P., and T. Vorst, 1992 "Option replication in discrete time with transaction
    costs", Journal of Finance 57, pp.271-293.
    Chen, W. K., 1999 "The valuation and hedging of reset options", 中國財務學會年會
    發表, Apr.
    Chen, W. K., and C. H. Shen, 1999 "the valuation of option when the underlying asset
    prices under price limits", The 7th Conference on Pacific Basin Finance, Economics
    and Accounting , May.
    Davis, M. H.,V. G. Panas, and T. Zariphopoulou, 1993 "European option pricing with
    transaction costs", Journal of Control and Optimization 31, pp.470-493
    Etzioni, S. E., 1986 "Rebalance disciplines for portfolio insurance", Journal of
    Portfolio Management, fall, pp.59-62.
    Garman, M. B., and M. J. Klass, 1980 "On the estimation of security price volatilities
    from historical data", Journal of Businesss, 53.1, pp.67-78.
    Grannan, E. R., and G. H. Swindle, 1996 "Minimizing transaction cost of option
    hedging strategies", Mathematical Finance 6, pp.341-364.
    Hodge, S. D. and A. Neuberger, 1989 "Optimal replication of contingent claims under
    transaction costs", Review of Future Markets 8, pp.222-239
    Hoggard, T., A.E. Whalley, and P. Wilmott, 1994 "Hedging option portfolios in the
    presence of transaction costs", Adv. Futures Opt. Res., 7, 21.
    Howe, M., B. Rustem, and M. J. P. Selby, 1994 "Minimax hedging strategy",
    Computational Economics 7, pp.245-275.
    Kim, K. A., and S. G. Rhee, 1996 "Price limit performance : evidence from Tokyo
    stock exchange", Journal of Finance 52, pp885-901.
    Kodres, L. E., 1993 "Tests of unbiasedness in foreign exchange future markets : an
    examination of price limits and conditional heteroscedasticity", Journal of Business
    66, pp.463-490.
    Leland, H. E., 1985 "Option pricing and replication with transaction costs", Journal of
    Finance 40, pp.1283-1301.
    Mohamed, B., 1994 "Simulation of transaction costs and optimal rehedging", Applied
    Mathematical Finance 1, pp.49-62.
    Robins, R. P. and B. Schachter, 1994 "An analysis of the risk in discretely rebalanced
    option hedges and delta-based techniques", Management Science 40, pp.798-808
    Robins, R. P. and R. W. Sanders, Jr., and B. Schachter, 1996 "An empirical
    investigation of variance reduction through non-delta-neutral hedging", Journal of
    Derivatives, winter, pp.59-69.
    Whalley, A. E. and P. Wilmott, 1993 "Counting the costs", Risk, Oct., pp.59-66.
    Whalley, A. E. and P. Wilmott, 1994 "Hedging with an edge", Risk, Oct.
    Wilmott, P., 1994 "Discrete charms", Risk, Mar., pp.48-51
    Whalley, A. E. and P. Wilmott, 1997 "An asymptotic analysis of an optimal hedging
    model for option pricing with transaction costs", Mathematical Finance 7, pp.307-
    324.
    Yang, S. and B. W. Brorsen, 1995 "Price limits as an explanation of thin-tailedness in
    pork bellies futures prices", Journal of Future Markets 15, pp.45-59.
    Description: 碩士
    國立政治大學
    金融研究所
    g86352003
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002001426
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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