Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/85013
DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | 陳威光 | zh_TW |
dc.contributor.author | 范雅琁 | zh_TW |
dc.creator | 范雅琁 | zh_TW |
dc.date | 2001 | en_US |
dc.date.accessioned | 2016-04-15T08:05:18Z | - |
dc.date.available | 2016-04-15T08:05:18Z | - |
dc.date.issued | 2016-04-15T08:05:18Z | - |
dc.identifier | A2002001221 | en_US |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/85013 | - |
dc.description | 碩士 | zh_TW |
dc.description | 國立政治大學 | zh_TW |
dc.description | 經濟學系 | zh_TW |
dc.description | 88258020 | zh_TW |
dc.description.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: | zh_TW |
dc.description.tableofcontents | 封面頁\r\n證明書\r\n致謝詞\r\n論文摘要\r\n目錄\r\n第一章 緒論\r\n第一節 研究背景與動機\r\n第二節 研究目的\r\n第二章 文獻回顧\r\n第一節 B-S選擇權的評價模型\r\n第二節 非連續性的Delta動態避險\r\n第三節 考量交易成本之下的避險策略\r\n第四節 國內相關文獻\r\n第三章 研究方法\r\n第一節 避險策略之介紹與分析\r\n第二節 避險策略之模擬\r\n第四章 模擬結果分析\r\n第一節 價平發行時避險績效之評估\r\n第二節 價外發行時避險績效之評估\r\n第三節 價內發行時避險績效之評估\r\n第四節 價平、價外與價內發行之綜合比較\r\n第五章 結論與建議\r\n第一節 結論\r\n第二節 對後續研究者的建議\r\n參考文獻\r\n附錄 | zh_TW |
dc.source.uri | http://thesis.lib.nccu.edu.tw/record/#A2002001221 | en_US |
dc.subject | 認購權證 | zh_TW |
dc.subject | 避險策略 | zh_TW |
dc.subject | 績效評估 | zh_TW |
dc.subject | 避險帶避險法 | zh_TW |
dc.subject | Minimax避險法 | zh_TW |
dc.title | 備兌型認購權證避險策略與績效之評估 | zh_TW |
dc.type | thesis | en_US |
dc.relation.reference | 中文部分\r\n1.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。\r\n2.陳威光,2000,「選擇權:理論、實務與應用」,智勝出版社。\r\n3.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。\r\n英文部分\r\n1.Black, F., and M. Scholes, 1972 ”The Valuation of Option Contracts and a test of Market Efficiency” , Journal of Finance 27, pp.399-417.\r\n2.Black, F., and M. Scholes, 1973 ”The Pricing of options and corporate liabilities” , Journal of Political Economics 81, pp.637-654.\r\n3.Boyle, P.P., and D. Emanual, 1980 ”Discrete Adjusted Option Hedges” , Journal of Financial Economics 8, pp.259-282.\r\n4.Dowd, K., 1998 ”Beyond Value at Risk”,John Wiley & Sons.\r\n5.Etzioni, S. E., 1986 ”Rebalancing disciplines for portfolio insurance”, Journal of Portfolio Management, fall, pp.59-62.\r\n6.Galai, Dan., 1983 ”The Components of the Return from Hedging Options against Stocks”, Journal of Business, Jan., pp.45-54.\r\n7.Hodge, S. D. and A. Neuberger, 1989 ”Optimal replication of contingent claims under transaction costs”, Review of Future Markets 8, pp.222-239.\r\n8.Howe, M. A., B. Rustem, and M.J.P. Selby, 1994 ”Minimax hedging strategy”, Computational Economics 7, pp.245-275.\r\n9.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.\r\n10.Hull, John, 1997, “Options, Futures, and other Derivatives “, edition, chapter 14.\r\n11.Leland, H. E., 1985 ”Option pricing and replication with transaction costs”, Journal of Finance 40, pp.1283-1301.\r\n12.Merton, R.C., 1973 “Theory of Ration Option Pricing”, Bell Journal of Economics and Management Science, Vol. 4, pp.141-183.\r\n13.Whalley, A. E. and P. Wilmott, 1994 ”Hedging with an edge”, Risk, Oct. | zh_TW |
item.grantfulltext | open | - |
item.openairetype | thesis | - |
item.openairecristype | http://purl.org/coar/resource_type/c_46ec | - |
item.cerifentitytype | Publications | - |
item.fulltext | With Fulltext | - |
Appears in Collections: | 學位論文 |
Files in This Item:
File | Size | Format | |
---|---|---|---|
index.html | 115 B | HTML2 | View/Open |
Google ScholarTM
Check
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.