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題名 亞式組合式選擇權之評價與分析_以基金連動債與匯率連結組合式商品為例
作者 楊子逸
貢獻者 陳松男
楊子逸
關鍵詞 亞式選擇權
組合式選擇權
平均式選擇權
亞式組合式選擇權
Asian Options
Basket Options
Average Options
Asian Basket Options
日期 2006
上傳時間 6-May-2016 16:38:06 (UTC+8)
摘要 平均式選擇權可以依計算方式分為算術平均及幾何平均兩種，不同於幾何平均式選擇權，算術平均式選擇權之評價並沒有封閉的公式解。此外，平均式選擇權也可依照摽的資產分為亞式選擇權與組合式選擇權，在過去的研究中較少將兩者類型同時考慮。因此，本論文結合現有的亞式選擇權及組合式選擇權之評價方式，推導出利用對數常態分配作為近似分配的亞式組合式選擇權近似封閉解。在本論文中再將此評價公式的結果與另一種近似封閉解作近似結果比較，證明出此推導結果能更精確且有效率的計算出平均式選擇權價格，並能利用此模型公式於平均式連動債券的評價與避險之中，最後再針對兩種連動債券的評價結果作發行商及投資人的策略分析。
參考文獻 【中文部分】
     1. 周培如，(2004)「平均式保本票券之設計與分析」，政治大學金融所碩士論文。
     2. 陳松男，(2002)「金融工程學：金融商品創新選擇權理論」，華泰書局。
     3. 陳松男，(2004)「結構型金融商品之設計及創新」，新陸書局。
     4. 陳佩菱，(2003)「結構性金融商品之個案分析」，政治大學金融所碩士論文。
     5. 陳威光，(2001)「選擇權：理論、實務與應用」，智勝文化。
     6. 蘇宥運，(2004)「傅利葉轉換於亞式選擇權評價上之應用性研究」，政治大學金融所碩士論文。
     
     【英文部分】
     1. Barraquand, J., (1995) “Numerical Valuation of High Dimensional Multivariate European Securities”. Management Science, 41, 12, 1882-1891.
     2. Benhamou, E., (2002) “Fast Fourier Transform for Discrete Asian Options”. Journal of Computational Finance, 6.
     3. Black, F. and Scholes, M., (1973) “The Pricing of Options and Corporate Liabilities”. The Journal of Political Economy, 81, 3, 637-659.
     4. Boyle, P., (1977) “Options: A Monte Carlo Approach”. Journal of Financial Economics, 4, 323-338.
     5. Boyle, P., Broadie, M. and Glasserman, P., (1997) “Monte Carlo Methods for Security Pricing”. Journal of Economic Dynamics and Control, 21, 1267-1321
     6. Carverhill, A. and Clewlow, L., (1990) “Flexible convolution”. Risk, 3, 25-29.
     7. Castellacci, G. and Siclari, M.J., (2003) “Asian Basket Spreads and Other Exotic Average Options”. Energy Power Risk Management.
     8. Dahl, L.O., (2000) “Valuation of European Call Options on Multiple Underlying Assets by Using a Quasi-Monte Carlo Method. A Case with Baskets from Oslo Stock Exchange”. In Proceedings AFIR 2000, 10, 239-248
     9. Dahl, L.O. and Benth, F.E., (2001) “Valuation of Asian Basket Options with Quasi-Monte Carlo Techniques and Singular Value Decomposition”. Pure Mathematics, 5, 1-21
     10. Datey, J.Y., Gauthier, G. and Simonato, J.G., (2003) “The Performance of Analytical Approximations for the Computation of Asian-Quanto-Basket Option Prices”. The Multinational Finance Journal, 7, 1, 55-82.
     11. Deelstra, G., Liinev, J. and Vanmaele, M., (2004) “Pricing of Arithmetic Basket Oprions by Conditioning”. Insurance: Mathematics and Economics, 34, 1, 1-23.
     12. Dionne, G., Gauthier, G., Ouertani, N. and Tahani, N., (2006) “Heterogeneous Basket Options Pricing Using Analytical Approximations”. Les Cahiers du CREF, 6, 1, 1-24.
     13. Gentle, D., (1993) “Basket Weaving”. Risk, 6, 6, 51-52.
     14. Hull, J. and White, A., (1993) “Efficient Procedures for Valuing European and American Path-Dependent Options”. Journal of Derivatives, 1, 21-31.
     15. Huynh, C.B., (1994) “Back to Baskets”. Risk, 5, 59-61.
     16. Jarrow, R. and Rudd, A., (1983) Option Pricing. Homewood, IL: Richard D. Irwin, Inc.
     17. Ju, N., (2002) “Pricing Asian and Basket Options via Taylor Expansion”. The Journal of Computational Finance, 5, 3, 79-103.
     18. Kemna, A. and Vorst, A., (1990) “A Pricing Method for Options Based on Average Asset Values”. Journal of Banking and Finance, 14, 113-130.
     19. Levy, E., (1992) “Pricing European Average Rate Currency Options”. Journal of International Money and Finance, 11, 474-491.
     20. Levy, E. and Turnbull, S., (1992) “Average Intelligence”. Risk, 5, 2, 53-59.
     21. Milevsky, M.A. and Posner, S.E., (1998a) “Asian Options, the Sum of Lognormals and the Reciprocal Gamma Distribution”. The Journal of Financial and Quantitative Analysis, 33, 3, 409-422.
     22. Milevsky, M.A. and Posner, S.E., (1998b) “A Closed-Form Approximation for Valuing Basket Options”. The Journal of Derivatives, 5, 4, 54-61.
     23. Neave, E. and Turnbull, S., (1993) “Quick Solutions for Arithmetic Average Options on A Recombining Random Walk”. 4th Actuarial Approach for Financial Risks International Colloquium, 718-739.
     24. Ouertani, N., (2003) ”Basket Options on Heterogeneous Underlying Assets”. Working Paper.
     25. Pellizzari, P., (2001) ”Efficient Monte Carlo Pricing of European Options Using Mean Value Control Variates”. Decisions in Economics and Finance, 24, 107-126.
     26. Posner, S.E. and Milevsky, M.A., (1999) “Valuing Exotic Options by Approximating the SPD with Higher Moments”. The Journal of Finance Engineering, 7, 2, 109-125.
     27. Rogers, L. and Shi, Z., (1995) “The Value of an Asian Option”. Journal of Applied Probability, 32, 1077-1088.
     28. Rubinstein, M., (1991) “Somewhere over the Rainbow”. Risk, 4, 10, 63-66.
     29. Turnbull, S. and Wakeman, L., (1991) “A Quick Algorithm for Pricing European Average Options”. Journal of Financial and Quantitative Analysis, 26, 377-389.
     30. Vosrt, T., (1992) “Prices and Hedge Ratios of Average Exchange Rate Options”. International Review of Financial Analysis, 1, 3, 179-194.
     31. Wilmott, P., Dewynne, J. and Howison, S., (1993) “Option Pricing: Mathematical Models and Computation”. Oxford Financial Press.
描述 碩士
國立政治大學
金融研究所
93352024
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0093352024
資料類型 thesis
dc.contributor.advisor 陳松男zh_TW
dc.contributor.author (Authors) 楊子逸zh_TW
dc.creator (作者) 楊子逸zh_TW
dc.date (日期) 2006en_US
dc.date.accessioned 6-May-2016 16:38:06 (UTC+8)-
dc.date.available 6-May-2016 16:38:06 (UTC+8)-
dc.date.issued (上傳時間) 6-May-2016 16:38:06 (UTC+8)-
dc.identifier (Other Identifiers) G0093352024en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/94438-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融研究所zh_TW
dc.description (描述) 93352024zh_TW
dc.description.abstract (摘要) 平均式選擇權可以依計算方式分為算術平均及幾何平均兩種，不同於幾何平均式選擇權，算術平均式選擇權之評價並沒有封閉的公式解。此外，平均式選擇權也可依照摽的資產分為亞式選擇權與組合式選擇權，在過去的研究中較少將兩者類型同時考慮。因此，本論文結合現有的亞式選擇權及組合式選擇權之評價方式，推導出利用對數常態分配作為近似分配的亞式組合式選擇權近似封閉解。在本論文中再將此評價公式的結果與另一種近似封閉解作近似結果比較，證明出此推導結果能更精確且有效率的計算出平均式選擇權價格，並能利用此模型公式於平均式連動債券的評價與避險之中，最後再針對兩種連動債券的評價結果作發行商及投資人的策略分析。zh_TW
dc.description.tableofcontents 第一章 緒論 1
     一、前言 1
     二、研究動機與目的 2
     三、研究架構 3
     第二章 文獻回顧 4
     一、亞式選擇權 (ASIAN OPTIONS) 5
     二、組合式選擇權 (BASKET OPTIONS) 8
     第三章 研究方法 11
     一、VORST-GENTLE模型 12
     二、動差配適法 21
     三、蒙地卡羅模擬 26
     第四章 債券天王PIMCO基金連動債券 29
     一、基金連動債之商品介紹 29
     二、基金連動債商品之評價過程 36
     三、評價結果 44
     四、避險參數 46
     五、發行商之風險分析與避險策略 48
     六、投資人之風險分析與投資策略 49
     第五章 一年期亞洲匯率連結組合式商品 50
     一、亞洲匯率連結組合式商品介紹 50
     二、亞洲匯率連結組合式商品評價過程 57
     三、評價結果 62
     四、避險參數 64
     五、發行商之風險分析與避險策略 65
     六、投資人之風險分析與投資策略 66
     第六章 結論 67
     附錄一 69
     附錄二 70
     參考文獻 71		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0093352024en_US
dc.subject (關鍵詞) 亞式選擇權zh_TW
dc.subject (關鍵詞) 組合式選擇權zh_TW
dc.subject (關鍵詞) 平均式選擇權zh_TW
dc.subject (關鍵詞) 亞式組合式選擇權zh_TW
dc.subject (關鍵詞) Asian Optionsen_US
dc.subject (關鍵詞) Basket Optionsen_US
dc.subject (關鍵詞) Average Optionsen_US
dc.subject (關鍵詞) Asian Basket Optionsen_US
dc.title (題名) 亞式組合式選擇權之評價與分析_以基金連動債與匯率連結組合式商品為例zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 【中文部分】
     1. 周培如，(2004)「平均式保本票券之設計與分析」，政治大學金融所碩士論文。
     2. 陳松男，(2002)「金融工程學：金融商品創新選擇權理論」，華泰書局。
     3. 陳松男，(2004)「結構型金融商品之設計及創新」，新陸書局。
     4. 陳佩菱，(2003)「結構性金融商品之個案分析」，政治大學金融所碩士論文。
     5. 陳威光，(2001)「選擇權：理論、實務與應用」，智勝文化。
     6. 蘇宥運，(2004)「傅利葉轉換於亞式選擇權評價上之應用性研究」，政治大學金融所碩士論文。
     
     【英文部分】
     1. Barraquand, J., (1995) “Numerical Valuation of High Dimensional Multivariate European Securities”. Management Science, 41, 12, 1882-1891.
     2. Benhamou, E., (2002) “Fast Fourier Transform for Discrete Asian Options”. Journal of Computational Finance, 6.
     3. Black, F. and Scholes, M., (1973) “The Pricing of Options and Corporate Liabilities”. The Journal of Political Economy, 81, 3, 637-659.
     4. Boyle, P., (1977) “Options: A Monte Carlo Approach”. Journal of Financial Economics, 4, 323-338.
     5. Boyle, P., Broadie, M. and Glasserman, P., (1997) “Monte Carlo Methods for Security Pricing”. Journal of Economic Dynamics and Control, 21, 1267-1321
     6. Carverhill, A. and Clewlow, L., (1990) “Flexible convolution”. Risk, 3, 25-29.
     7. Castellacci, G. and Siclari, M.J., (2003) “Asian Basket Spreads and Other Exotic Average Options”. Energy Power Risk Management.
     8. Dahl, L.O., (2000) “Valuation of European Call Options on Multiple Underlying Assets by Using a Quasi-Monte Carlo Method. A Case with Baskets from Oslo Stock Exchange”. In Proceedings AFIR 2000, 10, 239-248
     9. Dahl, L.O. and Benth, F.E., (2001) “Valuation of Asian Basket Options with Quasi-Monte Carlo Techniques and Singular Value Decomposition”. Pure Mathematics, 5, 1-21
     10. Datey, J.Y., Gauthier, G. and Simonato, J.G., (2003) “The Performance of Analytical Approximations for the Computation of Asian-Quanto-Basket Option Prices”. The Multinational Finance Journal, 7, 1, 55-82.
     11. Deelstra, G., Liinev, J. and Vanmaele, M., (2004) “Pricing of Arithmetic Basket Oprions by Conditioning”. Insurance: Mathematics and Economics, 34, 1, 1-23.
     12. Dionne, G., Gauthier, G., Ouertani, N. and Tahani, N., (2006) “Heterogeneous Basket Options Pricing Using Analytical Approximations”. Les Cahiers du CREF, 6, 1, 1-24.
     13. Gentle, D., (1993) “Basket Weaving”. Risk, 6, 6, 51-52.
     14. Hull, J. and White, A., (1993) “Efficient Procedures for Valuing European and American Path-Dependent Options”. Journal of Derivatives, 1, 21-31.
     15. Huynh, C.B., (1994) “Back to Baskets”. Risk, 5, 59-61.
     16. Jarrow, R. and Rudd, A., (1983) Option Pricing. Homewood, IL: Richard D. Irwin, Inc.
     17. Ju, N., (2002) “Pricing Asian and Basket Options via Taylor Expansion”. The Journal of Computational Finance, 5, 3, 79-103.
     18. Kemna, A. and Vorst, A., (1990) “A Pricing Method for Options Based on Average Asset Values”. Journal of Banking and Finance, 14, 113-130.
     19. Levy, E., (1992) “Pricing European Average Rate Currency Options”. Journal of International Money and Finance, 11, 474-491.
     20. Levy, E. and Turnbull, S., (1992) “Average Intelligence”. Risk, 5, 2, 53-59.
     21. Milevsky, M.A. and Posner, S.E., (1998a) “Asian Options, the Sum of Lognormals and the Reciprocal Gamma Distribution”. The Journal of Financial and Quantitative Analysis, 33, 3, 409-422.
     22. Milevsky, M.A. and Posner, S.E., (1998b) “A Closed-Form Approximation for Valuing Basket Options”. The Journal of Derivatives, 5, 4, 54-61.
     23. Neave, E. and Turnbull, S., (1993) “Quick Solutions for Arithmetic Average Options on A Recombining Random Walk”. 4th Actuarial Approach for Financial Risks International Colloquium, 718-739.
     24. Ouertani, N., (2003) ”Basket Options on Heterogeneous Underlying Assets”. Working Paper.
     25. Pellizzari, P., (2001) ”Efficient Monte Carlo Pricing of European Options Using Mean Value Control Variates”. Decisions in Economics and Finance, 24, 107-126.
     26. Posner, S.E. and Milevsky, M.A., (1999) “Valuing Exotic Options by Approximating the SPD with Higher Moments”. The Journal of Finance Engineering, 7, 2, 109-125.
     27. Rogers, L. and Shi, Z., (1995) “The Value of an Asian Option”. Journal of Applied Probability, 32, 1077-1088.
     28. Rubinstein, M., (1991) “Somewhere over the Rainbow”. Risk, 4, 10, 63-66.
     29. Turnbull, S. and Wakeman, L., (1991) “A Quick Algorithm for Pricing European Average Options”. Journal of Financial and Quantitative Analysis, 26, 377-389.
     30. Vosrt, T., (1992) “Prices and Hedge Ratios of Average Exchange Rate Options”. International Review of Financial Analysis, 1, 3, 179-194.
     31. Wilmott, P., Dewynne, J. and Howison, S., (1993) “Option Pricing: Mathematical Models and Computation”. Oxford Financial Press.		zh_TW