政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/95548
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113648/144635 (79%)
Visitors : 51615039      Online Users : 745
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/95548


    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
    2.Andre F. Perold, William F. Sharpe, January-February 1988, “Dynamic Strategies for Asset Allocation”, Financial Analysts Journal, pp. 16-27.
    3.Bala Arshanapalli, T.Daniel Coggin, William Nelson, Spring 2001, “Is Fixed-Weight Asset Allocation Really Better?”, Journal of Portfolio Management, pp.27-38.
    4.Benedicte Alziary, Jean-Pual Decamps, Pierre-Francoies Koehl, 1997, “A P.D.E Approach to Asian Options: Analysis and Numerical Evidence”, Journal of Banking and Finance ,21, pp. 613-640.
    5.C. B. Garcia, F. J. Gould, July-August 1987, “Am Empirical Study of Portfolio Insurance.”, Financial Analysts Journal, pp. 44-54.
    6.Curran, M., Dec 1994, “Valuing Asian and Portfolio Options by Conditioning on Geometric Mean Price”, Management Science, 40, pp. 1705-1711.
    7.Fischer Black, Robert Jones, Fall 1987, “Simplifying portfolio insurance”, Journal of Portfolio Management, pp. 48-51.
    8.German, H., El Karoui, N., Rochet, J. C., 1995, “Change of Numeraire, Changes of Probability Measures and Pricing of Options”, Journal of Applied Probability, 32, pp. 313-365.
    9.Gentle, D. June 1993, “Basket Weaving”, Risk, 6, pp. 51-52.
    10.Heath, D., Jarrow, R., Morton, A., 1992a, “Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation”, Econometrica, 60, pp.70-105.
    11.Hull, John C., Alan White, 1993, “Efficient Procedures for Valuing European and American Path-Dependent Options”, Journal of Derivatives, 1, pp. 21-31.
    12.Huynh, C. B., May 1994, “Back to Baskets”, Risk, 7, pp.55-61.
    13.Jose R. Aragones, Carlos Blanco, Juan Mascarenas, Spring 2001, “Active Management of Equity Investment Portfolios”, Journal of Portfolio Management, pp. 39-43.
    14.Kemma, A., A. Vorst, 1990, “A Pricing Method for Options Based on Average Asset Values”, Journal of Banking and Financing, 14, pp. 113-129.
    15.Mark Rubinstein, July-August 1985, “Alternative Paths to Portfolio Insurance”, Financial Analysts Journal, pp. 42-51.
    16.Mark Rubinstein, Hayne E. Leland, July-August 1981, “Replicating Options with Positions in Stock and Cash”, Financial Analysts Journal, pp.63-72.
    17.Moshe Arye Milevsky, Steven E. Posner, Summer 1998, “A Closed-Form Approximation for Valuing Basket Options”, Journal of Derivatives, pp. 54-61.
    18.Moshe Arye Milevsky, Steven E. Posner, Summer 1999, “Another Moment for the Average Option”, Derivatives Quarterly, pp. 47-53.
    19.Philippe Jorion, 2000, “Value at Risk: The New Benchmark for Managing Financial Risk”, second edition, The McGraw-Hill Companies, Inc.
    20.Rachel Campbell, Ronald Huisman, Kees Koedijk, 2001, “Optimal Portfolio Selection in a Value-at-Risk Framework”, Journal of Banking & Finance, 25, pp.1789-1804.
    21.Richard Bookstaber, Joseph A. Langsam, 2000, “Portfolio Insurance Trading Rules”, Journal of Futures Markets, pp.41-57.
    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:[Department of Money and Banking] Theses

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2232View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    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 ©   - Feedback