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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/95546


    Title: 新型匯率連動選擇權之設計與評價
    Authors: 李佳憓
    Contributors: 陳松男
    李佳憓
    Keywords: 匯率連動選擇權
    互換選擇權
    保本型商品
    機率測度
    Date: 2002
    Issue Date: 2016-05-09 16:30:27 (UTC+8)
    Abstract: 　　在全球化的大趨勢下，投資人對外國金融商品的投資需求日亦強烈，以不同計價幣別之外國商品為標的資產的匯率連動選擇權，也逐漸受到市場極大的重視。本論文提出了兩種新型匯率連動選擇權模型，分別為「匯率連動雙重選擇權」及「匯率連動互換選擇權」。首先，在「匯率連動雙重選擇權」的探討中，我們除了完成歐式封閉解及避險參數的推導外，亦有以下的研究結果：
    　　(1)此型選擇權可配合各種外國資產與匯率走勢的預期下獲利，且成本低廉，因而可彌補Reiner四型匯率連動選擇權的不足。
    　　(2)Reiner模型中部分匯率連動選擇權為此型選擇權特例。
    　　(3)此型選擇權與Reiner四型匯率連動選擇權存在對應的平價關係，因此兩組選擇權之間可相互複製或套利。
    　　(4)此型選擇權若與Reiner四型匯率連動選擇權互相組合，可再創造出其他創新型態的選擇權，這是無法由Reiner模型中四型匯率連動選擇權互相組合中辦到的。
    　　(5)此型選擇權可作為Reiner四型匯率連動選擇權間的轉換工具。
    　　而在「匯率連動互換選擇權」的研究中，本論文推導出其歐式封閉解及避險參數，並發現固定匯率型互換選擇權具有「零避險成本」的特性；此外，本論文亦提出可減少計算維度的數值方法－轉換機率測度法，運用此法，可將原本應運用兩變數樹型法計算的美式或其他路徑相依型匯率連動互換選擇權，簡化成只需在單變數二(三)元樹上運算，不但可大幅減少運算時間、加快收斂速度，亦可算出避險參數等重要的參考指標。
    Reference: 1. 陳松男，金融工程學：金融商品創新 選擇權理論，華泰出版社，(Jan. 2002)
    2. Baubonis, C, Gastineau, G and Purcell, D “The Banker’s Guide to Equity-Linked Certificates of Deposit” The Journal of Derivatives,(Winter 1993), 87~95
    3. Bennett, J. A., Chen, A. H., McGuinness P. “An Analysis of Capital Guaranteed Funds” International Review of Economics and Finance,(1996), 259~268
    4. Chen, A. H. and Kensinger, J. W.,”An Analysis of Market-Index Certificates of Deposit”Journal of Financial Services Research,(1990) 93~110
    5. Jamshidian, F. “Corralling Quantos” Over the Rainbow: develop- pments in exotic options and complex swaps, London : Risk Publications, (1995), 151-154
    6. Kamrad B. and Ritchken P. “Multinonomial Approximating Models for Options with k State Variables” Management Science, Vo.l 37, No 12, (Dec.1991) 1640~1652
    7. Margrabe, W. “The Value of An Option to Exchange One Asset for Another”, The Journal of Finance Vol XXXIII, No.1(March 1978),177~186
    8. Musiela, M. and Rutkowski M. Martingale Methods in Financial Modeling, Springer-Verlag Berlin Heidelberg(1997)
    9. Reiner, E. “Quanto Mechanics” RISK (March 1992), 59-63
    10. Richken P. “On Pricing Barrier Options” The Journal of Derivatives (Winter 1996) 19~28
    11. Rubinstein, M. ”One for Another” RISK, (July-August 1991), 30~32
    12. Rubinstein, M. ”Two into One” RISK, (May 1991), 49
    13. Wasserfallen W. and Schenk C. “Portfolio Insurance for the Small Investor in Switzerland”,(Spring 1996)37~43
    14. Wei, J. Z. “Valuing Derivatives Linked to Foreign Assets” Chapter 5,Frontiers in Derivatives, Edited by A. Konishi and R. Dattatreya, Irwin Professional Publishing (1997), 89-126
    Description: 碩士
    國立政治大學
    金融研究所
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2010000256
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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