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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/95549


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/95549


    Title: 分離基金內的喊價選擇權評價與避險
    Authors: 簡嘉宏
    Contributors: 廖四郎
    簡嘉宏
    Keywords: 喊價選擇權
    分離基金
    平賭過程
    shout option
    segregated funds
    martingale method
    Date: 2002
    Issue Date: 2016-05-09 16:30:34 (UTC+8)
    Abstract: 　　近年來在金融市場上出現了新型的金融衍生性商品，這些衍生性商品相當於一般的共同基金，但是額外鑲嵌了喊價選擇權，可以使投資人在市場表現不理想的時候，還能拿回一部份的本金；而在市場表現良好時，可以重置保本的水準來鎖定既得的利潤。因此新型的這類商品更容易吸引投資人。
    　　分離基金便是這樣的商品，它募集投資大眾的資金進行投資，它不但提供保本的承諾，同時給予隨時重置保本水準的權利。然而，對發行商而言，它的風險相當地高，因此本篇論文將利用Martingale（平賭過程）的方法，針對這類商品鑲嵌的喊價選擇權來進行理論模型的推導、經濟意涵的分析、數值方法的評價，並且提出重要的避險策略。
    　　In recent years, there have been a lot of derivatives similar with mutual funds which guarantee that not only should investors receive a minimum benefit after a certain period of time, but also be provided with the reset right . Whenever investors reset, they can change a minimum benefit at the higher guarantee level.
    　　Those kinds of funds are known as segregated funds in Canada. This paper develops a pricing model of shout options which are embedded in segregated funds by means of martingale method and it offers a hedge strategy for writers.
    Reference: （中文部份）
    陳松男（民85），選擇權與期貨：衍生性商品理論與實務，新路書局。
    陳松男（民91），金融工程學：金融商品創新與選擇權理論，華泰書局。
    陳威光（民90），選擇權理論實務與應用，智勝出版社。
    廖四郎（民87），從Black-Scholes 模型分析論數理模型之發展，亞太經濟管理評論，第二卷，第一期。
    （英文部份）
    Boyle, P.P.,A.W. Kolkiewicz,and K.S. Tan (1999). Valuation of the reset option in segregated fund contracts using quasi-Monte Carlo methods. University of Waterloo Institute of Insurance and Pension Research Report 99-10.
    MareK Musiela and Marek Rutkowski (1997).Martingale Method in Financial Modelling,Springer.
    Windcliff, H., P.A. Forsyth, and K. R. Vetzal (1999). Shout option:A Framework for pricing contracts which can be modified by the investor. Journal of Computational and Applied Mathematics,forthcoming.
    Windcliff, H., (2000).Models for Financial Contracts that can be Modified by the Investor.
    Yue-kuen Kwok and Lixin Wu (2001). Optimal shouting policies of options with shouting rights.
    Description: 碩士
    國立政治大學
    金融研究所
    89352018
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2010000318
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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