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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/94438


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/94438


    Title: 亞式組合式選擇權之評價與分析_以基金連動債與匯率連結組合式商品為例
    Authors: 楊子逸
    Contributors: 陳松男
    楊子逸
    Keywords: 亞式選擇權
    組合式選擇權
    平均式選擇權
    亞式組合式選擇權
    Asian Options
    Basket Options
    Average Options
    Asian Basket Options
    Date: 2006
    Issue Date: 2016-05-06 16:38:06 (UTC+8)
    Abstract: 平均式選擇權可以依計算方式分為算術平均及幾何平均兩種，不同於幾何平均式選擇權，算術平均式選擇權之評價並沒有封閉的公式解。此外，平均式選擇權也可依照摽的資產分為亞式選擇權與組合式選擇權，在過去的研究中較少將兩者類型同時考慮。因此，本論文結合現有的亞式選擇權及組合式選擇權之評價方式，推導出利用對數常態分配作為近似分配的亞式組合式選擇權近似封閉解。在本論文中再將此評價公式的結果與另一種近似封閉解作近似結果比較，證明出此推導結果能更精確且有效率的計算出平均式選擇權價格，並能利用此模型公式於平均式連動債券的評價與避險之中，最後再針對兩種連動債券的評價結果作發行商及投資人的策略分析。
    Reference: 【中文部分】
    1. 周培如，(2004)「平均式保本票券之設計與分析」，政治大學金融所碩士論文。
    2. 陳松男，(2002)「金融工程學：金融商品創新選擇權理論」，華泰書局。
    3. 陳松男，(2004)「結構型金融商品之設計及創新」，新陸書局。
    4. 陳佩菱，(2003)「結構性金融商品之個案分析」，政治大學金融所碩士論文。
    5. 陳威光，(2001)「選擇權：理論、實務與應用」，智勝文化。
    6. 蘇宥運，(2004)「傅利葉轉換於亞式選擇權評價上之應用性研究」，政治大學金融所碩士論文。

    【英文部分】
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    12. Dionne, G., Gauthier, G., Ouertani, N. and Tahani, N., (2006) “Heterogeneous Basket Options Pricing Using Analytical Approximations”. Les Cahiers du CREF, 6, 1, 1-24.
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    21. Milevsky, M.A. and Posner, S.E., (1998a) “Asian Options, the Sum of Lognormals and the Reciprocal Gamma Distribution”. The Journal of Financial and Quantitative Analysis, 33, 3, 409-422.
    22. Milevsky, M.A. and Posner, S.E., (1998b) “A Closed-Form Approximation for Valuing Basket Options”. The Journal of Derivatives, 5, 4, 54-61.
    23. Neave, E. and Turnbull, S., (1993) “Quick Solutions for Arithmetic Average Options on A Recombining Random Walk”. 4th Actuarial Approach for Financial Risks International Colloquium, 718-739.
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    25. Pellizzari, P., (2001) ”Efficient Monte Carlo Pricing of European Options Using Mean Value Control Variates”. Decisions in Economics and Finance, 24, 107-126.
    26. Posner, S.E. and Milevsky, M.A., (1999) “Valuing Exotic Options by Approximating the SPD with Higher Moments”. The Journal of Finance Engineering, 7, 2, 109-125.
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    Description: 碩士
    國立政治大學
    金融研究所
    93352024
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093352024
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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