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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/99747


    Title: 負利率下金融創新-遞延領息選擇權
    Financial Innovation under Negative Rate Environment-Coupon Postponing Option
    Authors: 陳柏鋼
    Chen, Bo Gang
    Contributors: 胡聯國
    Hu, Len Kuo
    陳柏鋼
    Chen, Bo Gang
    Keywords: 負利率
    債券
    隨機過程
    Date: 2016
    Issue Date: 2016-08-09 09:58:14 (UTC+8)
    Abstract: 本文探討銀行將負利率轉嫁予投資機構、企業、高淨值自然人等鉅額存款戶承擔時，該類存款人對於減持現金和存款部位，或者延後現金流入之需求。此外，為滿足此種需求，本文嘗試設計一種當市場利率由正值出發，初次達到0%時，固定配息債券投資人能選擇將原債券依約定比率轉換為零息債券，也就是一個延後現金收入的選擇權，讓可能被銀行轉嫁的高額存戶，能夠減輕被轉嫁的負擔，除降低了未來被轉嫁的不確定性，也使該投資人能夠保有資金管理的彈性。在利率模型方面，本文採用Ornstein-Uhlenbeck(O-U)利率過程，假設債券發行時市場利率為正，然而平均利率為0%，透過利率期限結構設計出契約轉換張數，並結合初次到達時間(first hitting time)之機率密度函數求解遞延領息選擇權的價值。利用蒙地卡羅積分法，發現均值回歸力道θ與選擇權價格呈現反向關係；票息多寡和權利價值呈正向關係；選擇權價值隨著變異數變大而先升後降；執行利率μ(本文以利率均值μ作為執行利率)越低，權利價值越高，代表市場利率平均值越低，遞延領息選擇權提供的保障越有價值，選擇權價格越高；也可以解讀為，當景氣越不好利率平均值越低時，被轉嫁負利率者會越願意持有該選擇權來保護自己。
    Reference: Alili, L., Patie, P., & Pedersen, J. L. (2005). Representations of the first hitting time density of an Ornstein-Uhlenbeck process 1. Stochastic Models, 21(4), 967-980.

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    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    103351025
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103351025
    Data Type: thesis
    Appears in Collections:[Department of International Business] Theses

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