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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/33981
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/33981


    Title: 多資產結構型商品之評價與避險--利用Quasi-Monte Carlo模擬法
    Authors: 粘哲偉
    Contributors: 陳威光
    江彌修



    粘哲偉
    Keywords: 結構型商品
    多資產選擇權
    準蒙地卡羅模擬法
    主成份分析
    Structured Products
    Multi-Asset Option
    Quasi-Monte Carlo Simulation
    Principal Component Analysis
    Date: 2003
    Issue Date: 2009-09-17 19:00:55 (UTC+8)
    Abstract: 結構型商品,這種風險介於固定收益證券和股票之間的產品,甫上市以來,便廣受投資人的青睞,不僅提供保障本金的需求,更賦予參與股市上漲的獲利。且自從2004年之後,隨著目前景氣逐步回升,股票市場也預期會跟著上揚,於是連結股權的結構型商品也不斷地被推出,而其所隱含選擇權逐漸以連動多資產和具有新奇路徑相依條款為主,而使得在評價上,我們所面對的是高維度的問題,一般在處理高維度問題上,皆以傳統蒙地卡羅模擬法來因應。但因其緩慢的收斂速度,成為應用上的最大缺點,而且在處理高維度問題上所需耗費的模擬時間更為顯著。
    本論文主要貢獻可分為兩點:第一,在應用準蒙地卡羅法來對多資產結構型商品評價,並採用Silva(2003)和Acworth, Broadie, and Glasserman(1998)的方法,來對準蒙地卡羅法作改善,並利用二檔市面上存在的結構型商品---高收益鎖定型連動債券和優選鎖定連動債券進行評價,結果發現改善後的準地卡羅法,其評價效率高於蒙地卡羅法和反向變異蒙地卡羅法。第二,本文還對高收益鎖定型連動債券提出delta避險策略,透過先計算選擇權對報酬率的delta,再轉換為所需持有股票的部位,最後發現所建立的避險組合能夠完全支應每年到期時所應付給投資人的債息,以及在避險時所需借款的部份,表示此一策略應為可行的避險策略,可供券商作避險上的參考。
    Reference: Acworth, P., M. Broadie and P. Glasserman 1998. A Comparison of some Monte Carlo and Quasi Monte Carlo Methods for Option Pricing, pp1-18 in Monte Carlo and Quasi-Monte Carlo Methods 1996
    Bhansali, V. 1998. Pricing and Managing Exotic and Hybrid Options, New York: McGraw-Hill.
    Boyle P.P., M. Broadie and P. Glasserman 1997. Monte Carlo Methods for Security Pricing, Journal of Economic Dynamics and Control 21:1267-1321.
    Broadie M. and P. Glasserman 1996 Estimating Security Price Derivatives Using Simulation, Management Science 42:269-285.
    Dupire, B. 1998 . Monte Carlo : Methodologies and Applications for Pricing and Risk Management, London: Risk Books.
    Galanti S. and A. Jung, 1997, Low-discrepancy Sequences: Monte Carlo Simulation of Option Prices. Journal of Derivatives. Fall 1997:63-83
    Glasserman, P. 2004. Monte Carlo Methods in Financial Engineering. New York: Springer.
    Imai, J. and K.S. Tan, 2002. Enhanced Quasi-Monte Carlo Methods with Dimension Reduction. Proceedings of the 2002 Winter Simulation Conference.
    Jäckel, P. 2002. Monte Carlo Methods in Finance. New York: John Wiley & Sons.
    Paskov S.H. and J.F. Traub, 1995, Faster Valuation of Financial Derivatives. The Journal of Portfolio Management, 22(1):113-120.
    Press, William H, 1992. Numerical Recipes in C : the Art of Scientific Computing. New York: Cambridge University Press.
    Silva M. 2003, Quasi-Monte Carlo in Finance: Extending for High Dimensional Problem. Working paper.
    Description: 碩士
    國立政治大學
    金融研究所
    91352010
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0091352010
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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