政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/3728

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113822/144841 (79%)
Visitors : 51822497 Online Users : 508

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 金融學系 > 國科會研究計畫 > Item 140.119/3728

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/3728

Title:	組合型權證的正確評價及避險方法
Authors:	陳松男
Keywords:	避險效果;組合型權證;認股權證;評價模式;歐式選擇權;隱含波動性;沖銷風險 Hedging effectiveness;Warrant;Pricing model;European option;Implied volatility
Date:	2000
Issue Date:	2007-04-18 16:34:52 (UTC+8)
Publisher:	臺北市：國立政治大學金融系
Abstract:	In the paper, we explain the reason why one should not directly apply the Black - Scholes model to pricing and hedging European basket options, nor one should use the Black - Scholes delta for the hedging purpose. We derive analytically an appropriate pricing model for European basket options. At the same time, an appropriate hedging method for the options is also provided. Empirical evidence is performed to support the theoretical claim of the paper. The results of this paper will provide basket option writers the appropriate ways to price and to hedge basket options.
Description:	核定金額：488400元
Data Type:	report
Appears in Collections:	[金融學系] 國科會研究計畫

Files in This Item:

File	Description	Size	Format
892416H004080.pdf		1888Kb	Adobe PDF2	1602	View/Open

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.

Loading...