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| Title: | 組合型選擇權的評價與其在風險控管的應用 |
| Authors: | 邱政維 |
| Contributors: | 廖四郎
邱政維 |
| Date: | 2002 |
| Issue Date: | 2016-05-09 16:30:32 (UTC+8) |
| Abstract: | 本文對組合型選擇權（Basket option）在Heath, Jarrow, and Morton（1992）的瞬間遠期利率環境下，提出了三個近似解，分別利用了Vorst（1992）提出的幾何平均近似算術平均的方法，以及Milevsky and Posner（1998）提出的Reciprocal gamma distribution近似多個對數常態（lognormal distribution）算術平均的分配。利用蒙地卡羅模擬法（Monte Carlo Simulation）模擬十萬次的結果發現，本文所提出的近似解，不論在組合型買權或是組合型賣權上都有相當不錯的近似結果。同時，本文也利用了蒙地卡羅模擬法模擬出在到期日時可能的投資組合價值分配，與兩種近似法所求得的分配比較，發現Reciprocal gamma distribution更能捕捉多個對數常態分配算術平均的分配。
驗證近似解之後，本文針對組合型選擇權在風險控管上的應用，與其它方法做了比較，這其中包含了：停損策略（Stop-loss）、固定比例策略（Constant-mix）、固定比例投資組合保險（CPPI）、動態複製賣權（Synthetic put）、以及積極風險值管理（active VaR management）。在本文中，我們把這些投資策略視為如同「複製賣權」的動態複製法，其目的在於複製某種金融商品期末的報酬，即可利用選擇權評價理論來求得其期初價值，就可以用此期初價值以及期末報酬型態做比較。
This article provides the closed-form approximations for valuing basket option under Gaussian Heath-Jarrow-Morton framework. The approximations we employ to the sum of lognormal random variable are: 1) lognormal distribution and 2) Reciprocal gamma distribution. Based on the numerical results, we find that the two ways have fairly good performances, and the latter has a better approximation to the sum of lognormal distribution.
In the second part of this paper, we compare so-called “synthetic put strategy” with other methods in portfolio insurance, including: 1) stop-loss, 2) constant-mix, and 3) constant proportion portfolio insurance, and active VaR management. In order to compare them on a common base, this paper thinks of them in a new point of view that these methods should be viewed as a way to dynamically replicate a derivative, so that we could price those derivatives using Monte Carlo simulation. |
| Reference: | 1.陳松男及鄭翔伊，1991，”組合型權證的正確評價及避險方法”，證券發展季刊 第十一卷第四期
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22.Richard M. Ennis, Spring 2001, “The Case for Whole-Stock Portfolios”, Journal of Portfolio Management, pp. 17-26.
23.Roger G. Clarke, Robert D. Arnott, November-December 1987, “The Cost of Portfolio Insurance: Tradeoffs and Choices”, Financial Analysts Journal, pp. 35-47.
24.Szu-Lang Liao, Chou-Wen Wang, 2001, “Monte Carlo Simulation Methods of Option Pricing under Stochastic Interest Rates — with An Application to HJM Model”, Working paper.
25.Vorst, T. March 1992, “Prices and Hedge Ratios of Average Exchange Rate Options”, International Review of Financial Analysis, 1, pp. 179-193. |
| Description: | 碩士
國立政治大學
金融研究所
89352009 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#A2010000305 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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