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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85013


    Title: 備兌型認購權證避險策略與績效之評估
    Authors: 范雅琁
    Contributors: 陳威光
    范雅琁
    Keywords: 認購權證
    避險策略
    績效評估
    避險帶避險法
    Minimax避險法
    Date: 2001
    Issue Date: 2016-04-15 16:05:18 (UTC+8)
    Abstract: 備兌型認購權證的發行者，會因為調整避險部位而產生損益，一旦避險不當，避險的損失甚至會侵蝕發行時的權利金收入。本研究分別針對避險帶避險法、Gamma避險法以及Minimax避險法三種避險策略作模擬。在績效評估方面，本文主要以風險值（VaR）衡量風險，以反映避險損失時的下方風險。為了與VaR指標作一比較，本文也將information ratio績效評估的方法納入，同時為了觀察避險誤差與交易成本的抵換關係，本文也以避險誤差與交易成本之總和作為一項績效評估的指標。本文發現：
    Reference: 中文部分
    1.吳秉寰，1999，「認購權證最適避險策略之研究」，國立政治大學金融研究所碩士論文。
    2.陳威光，2000，「選擇權：理論、實務與應用」，智勝出版社。
    3.謝文傑，1998，「認購權證delta避險與minimax避險績效之比較」，私立銘傳大學金融研究所碩士論文。
    英文部分
    1.Black, F., and M. Scholes, 1972 ”The Valuation of Option Contracts and a test of Market Efficiency” , Journal of Finance 27, pp.399-417.
    2.Black, F., and M. Scholes, 1973 ”The Pricing of options and corporate liabilities” , Journal of Political Economics 81, pp.637-654.
    3.Boyle, P.P., and D. Emanual, 1980 ”Discrete Adjusted Option Hedges” , Journal of Financial Economics 8, pp.259-282.
    4.Dowd, K., 1998 ”Beyond Value at Risk”，John Wiley & Sons.
    5.Etzioni, S. E., 1986 ”Rebalancing disciplines for portfolio insurance”, Journal of Portfolio Management, fall, pp.59-62.
    6.Galai, Dan., 1983 ”The Components of the Return from Hedging Options against Stocks”, Journal of Business, Jan., pp.45-54.
    7.Hodge, S. D. and A. Neuberger, 1989 ”Optimal replication of contingent claims under transaction costs”, Review of Future Markets 8, pp.222-239.
    8.Howe, M. A., B. Rustem, and M.J.P. Selby, 1994 ”Minimax hedging strategy”, Computational Economics 7, pp.245-275.
    9.Howe, M. A., B. Rustem, and M.J.P. Selby, 1996 ”Multi-period minimax hedging strategies”, European Journal of Operations Research, 93, pp.185-204.
    10.Hull, John, 1997, “Options, Futures, and other Derivatives “, edition, chapter 14.
    11.Leland, H. E., 1985 ”Option pricing and replication with transaction costs”, Journal of Finance 40, pp.1283-1301.
    12.Merton, R.C., 1973 “Theory of Ration Option Pricing”, Bell Journal of Economics and Management Science, Vol. 4, pp.141-183.
    13.Whalley, A. E. and P. Wilmott, 1994 ”Hedging with an edge”, Risk, Oct.
    Description: 碩士
    國立政治大學
    經濟學系
    88258020
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002001221
    Data Type: thesis
    Appears in Collections:[Department of Economics] Theses

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