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題名 結構型商品之評價與分析－附有雙重界限選擇權之股權及匯率連動票券
作者 許展維
Hsu, Chan Wei
貢獻者 陳松男
許展維
Hsu, Chan Wei
關鍵詞 雙重界限
觸及失效
有限差分法
蒙地卡羅模擬
Double Barrier
Knock Out
Finite Difference Method
Monte Carlo Simulation
日期 2009
上傳時間 9-May-2016 11:50:23 (UTC+8)
摘要 　　本文的主要內容為評價JPMorgan Chase & Co.（美國摩根大通銀行）及UBS（瑞士銀行）所發行的兩檔結構型票券，共同的特色是票券為保本型且不付息，報酬條款中附有雙重界限觸及失效選擇權，其價值對於標的資產的波動程度相當敏感。一旦標的資產價格觸及任一界限，具有額外收益的選擇權將失效，投資人僅能拿回原始投資本金，相當於損失了原本可能獲得的無風險利息。\r\n　　針對雙重界限觸及失效選擇權，我們使用顯式、隱式以及Crank-Nicolson三種有限差分法來進行評價，並比較蒙地卡羅模擬和封閉解的結果，藉以了解各種方法的準確性及效率。接著我們求算避險參數Greeks，分析發行商所面臨的風險。同時根據市場未來的情況，分析投資人的預期收益，進而了解這種商品在市場上廣為流通的原因，以及此類新奇結構型商品對於風險的重分配方式，如何締造買方賣方雙贏的局面。
參考文獻 中文部分：\r\n1.陳松男（民94）：金融工程學－金融商品創新與選擇權理論，新陸書局\r\n2.陳松男（民93）：結構型金融商品之設計及創新，新陸書局\r\n3.陳松男（民94）：結構型金融商品之設計及創新（二），新陸書局\r\n4.陳威光（民91）：選擇權－理論‧實務與應用，智勝出版社\r\n5.謝嫚琦（民93）：結構型債券之評價與分析，國立政治大學金融研究所碩士論文\r\n6.李映瑾（民94）：結構型商品之評價與分析－每日計息雙區間連動及匯率連動債券，國立政治大學金融研究所碩士論文\r\n\r\n英文部分：\r\n1.Boyle, P.P. (1998): “An Explicit Finite Difference Approach to The Pricing of Barrier Options”, Applied Mathematical Finance, 5 (1998), pp. 17-43\r\n2.Boyle, P.P. and Lau S.H. (1994): “Bumping Up Against The Barrier with The Binomial Method”, Journal of Derivatives, 1 (1994), pp. 6-14\r\n3.Boyle, P.P. (1977): “Options: A Monte Carlo Approach”, Journal of Financial Economics, 4 (1977), pp. 323-338\r\n4.Brandimarte, P. (2002): Numerical Methods in Finance: A MATLAB-Based Introduction, John Wiley & Sons, Inc. , New York\r\n5.Broadie, M., Glasserman, P. and Kou, S. (1997): “A Continuity Correction for Discrete Barrier Options”, Mathematical Finance, 7 (1997), pp. 325-349\r\n6.Cao, G. and MacLeod, R. (2005): “Pricing Exotic Barrier Options with Finite Differences”, SSRN Working Paper Series\r\n7.Carr, P., Ellis, K. and Gupta, V. (1998): “Static Hedging of Exotic Options”, The Journal of Finance, 53, No.3 (Jun., 1998), pp. 1165-1190\r\n8.Cheuk, T.H.F. and Vorst, T.C.F. (1994): “Real-Life Barrier Options”, Unpublished manuscript, Erasmus University, Rotterdam, Netherlands\r\n9.Cox, J.C., Ross, S.A. and Rubinstein, M. (1979): “Option Pricing: A Simplified Approach”, Journal of Financial Economics, 7 (1979), pp. 229-264\r\n10.Espen Gaardder, H. (1998): The Complete Guide to Option Pricing Formulas, McGraw-Hill, New York\r\n11.Fries, P.C. (2007): Mathematical Finance: Theory, Modeling, Implementation, John Wiley & Sons, Inc. , New York\r\n12.German, H. and Yor, M. (1996): ”Pricing and Hedging Double Barrier Options: A Probabilistic Approach”, Mathematical Finance, 6 (1996), pp.365-378\r\n13.Glasserman, P. (2003): Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability), Springer, New York\r\n14.Kunitomo, N. and Ikeda, M. (1992): “Pricing Options with Curved Boundaries”, Mathematical Finance, 2 (1992), pp. 275-298\r\n15.Li, Anlong (1999): “The Pricing of Double Barrier Options and Their Variations”, Advances in Futures and Options Research, 10 (1999), pp. 17-41\r\n16.Merton, R.C. (1973): “Theory of Rational Option Pricing”, Bell Journal of Economics and Management Science, 4 (1973), pp. 141-183\r\n17.Reiner, E. and Rubinstein, M. (1991): “Breaking Down the Barriers”, Risk Magazine, 4 (1991), pp. 28-35\r\n18.Ritchken, P. (1995): “On Pricing Barrier Options”, Journal of Derivatives, 3 (1995), pp. 19-28\r\n19.Ritchken, P. and Salkin, H. (1983): “Safety First Selection Techniques for Option Spread”, Journal of Portfolio Management, 9, pp. 61-67\r\n20.Wilmott, P., Dewynne, J. and Howison, S. (1993): Option Pricing: Mathematical Models and Computation, Oxford Financial Press, Oxford\r\n21.Wystup, U. (2007): FX Options and Structured Products, John Wiley & Sons, Inc., New York\r\n22.Zvan, R., Forsyth, P. and Vertzal, K. (1998): “Robust Numerical Methods for PDE Models of Asian Options”, Journal of Computational Finance, 1(Winter) (1998), pp. 39-78
描述 碩士
國立政治大學
金融研究所
96352028
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0963520281
資料類型 thesis
dc.contributor.advisor 陳松男zh_TW
dc.contributor.author (Authors) 許展維zh_TW
dc.contributor.author (Authors) Hsu, Chan Weien_US
dc.creator (作者) 許展維zh_TW
dc.creator (作者) Hsu, Chan Weien_US
dc.date (日期) 2009en_US
dc.date.accessioned 9-May-2016 11:50:23 (UTC+8)-
dc.date.available 9-May-2016 11:50:23 (UTC+8)-
dc.date.issued (上傳時間) 9-May-2016 11:50:23 (UTC+8)-
dc.identifier (Other Identifiers) G0963520281en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=106904-
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) 96352028zh_TW
dc.description.abstract (摘要) 　　本文的主要內容為評價JPMorgan Chase & Co.（美國摩根大通銀行）及UBS（瑞士銀行）所發行的兩檔結構型票券，共同的特色是票券為保本型且不付息，報酬條款中附有雙重界限觸及失效選擇權，其價值對於標的資產的波動程度相當敏感。一旦標的資產價格觸及任一界限，具有額外收益的選擇權將失效，投資人僅能拿回原始投資本金，相當於損失了原本可能獲得的無風險利息。\r\n　　針對雙重界限觸及失效選擇權，我們使用顯式、隱式以及Crank-Nicolson三種有限差分法來進行評價，並比較蒙地卡羅模擬和封閉解的結果，藉以了解各種方法的準確性及效率。接著我們求算避險參數Greeks，分析發行商所面臨的風險。同時根據市場未來的情況，分析投資人的預期收益，進而了解這種商品在市場上廣為流通的原因，以及此類新奇結構型商品對於風險的重分配方式，如何締造買方賣方雙贏的局面。zh_TW
dc.description.tableofcontents 第一章 緒論………………………………………………………………………1\r\n第一節 　界限選擇權簡介………………………………………………………1\r\n第二節 　研究動機………………………………………………………………2\r\n第三節 　研究目的………………………………………………………………3\r\n第四節 　研究架構………………………………………………………………4\r\n第二章 文獻回顧…………………………………………………………………6\r\n第三章 研究方法…………………………………………………………………8\r\n第一節 　基本假設………………………………………………………………8\r\n第二節 　有限差分法…………………………………………………………10\r\n第三節 　蒙地卡羅模擬法……………………………………………………22\r\n第四節 　封閉解………………………………………………………………24\r\n第五節 　避險參數Greeks求算－利用有限差分法…………………………26\r\n第四章 雙重界限觸及失效連動票券之個案研究……………………………29\r\n第一節 　商品介紹……………………………………………………………29\r\n第二節 　商品評價……………………………………………………………33\r\n第三節 　風險分析……………………………………………………………46\r\n第四節 　本章小結……………………………………………………………54\r\n第五章 區間累計匯率連動票券之個案研究…………………………………55\r\n第一節 　商品介紹……………………………………………………………55\r\n第二節 　商品評價……………………………………………………………60\r\n第三節 　風險分析……………………………………………………………72\r\n第四節 　本章小結……………………………………………………………79\r\n第六章 結論與建議……………………………………………………………80\r\n第一節 　結論…………………………………………………………………80\r\n第二節 　後續研究建議………………………………………………………83\r\n參考文獻……………………………………………………………………………84zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0963520281en_US
dc.subject (關鍵詞) 雙重界限zh_TW
dc.subject (關鍵詞) 觸及失效zh_TW
dc.subject (關鍵詞) 有限差分法zh_TW
dc.subject (關鍵詞) 蒙地卡羅模擬zh_TW
dc.subject (關鍵詞) Double Barrieren_US
dc.subject (關鍵詞) Knock Outen_US
dc.subject (關鍵詞) Finite Difference Methoden_US
dc.subject (關鍵詞) Monte Carlo Simulationen_US
dc.title (題名) 結構型商品之評價與分析－附有雙重界限選擇權之股權及匯率連動票券zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 中文部分：\r\n1.陳松男（民94）：金融工程學－金融商品創新與選擇權理論，新陸書局\r\n2.陳松男（民93）：結構型金融商品之設計及創新，新陸書局\r\n3.陳松男（民94）：結構型金融商品之設計及創新（二），新陸書局\r\n4.陳威光（民91）：選擇權－理論‧實務與應用，智勝出版社\r\n5.謝嫚琦（民93）：結構型債券之評價與分析，國立政治大學金融研究所碩士論文\r\n6.李映瑾（民94）：結構型商品之評價與分析－每日計息雙區間連動及匯率連動債券，國立政治大學金融研究所碩士論文\r\n\r\n英文部分：\r\n1.Boyle, P.P. (1998): “An Explicit Finite Difference Approach to The Pricing of Barrier Options”, Applied Mathematical Finance, 5 (1998), pp. 17-43\r\n2.Boyle, P.P. and Lau S.H. (1994): “Bumping Up Against The Barrier with The Binomial Method”, Journal of Derivatives, 1 (1994), pp. 6-14\r\n3.Boyle, P.P. (1977): “Options: A Monte Carlo Approach”, Journal of Financial Economics, 4 (1977), pp. 323-338\r\n4.Brandimarte, P. (2002): Numerical Methods in Finance: A MATLAB-Based Introduction, John Wiley & Sons, Inc. , New York\r\n5.Broadie, M., Glasserman, P. and Kou, S. (1997): “A Continuity Correction for Discrete Barrier Options”, Mathematical Finance, 7 (1997), pp. 325-349\r\n6.Cao, G. and MacLeod, R. (2005): “Pricing Exotic Barrier Options with Finite Differences”, SSRN Working Paper Series\r\n7.Carr, P., Ellis, K. and Gupta, V. (1998): “Static Hedging of Exotic Options”, The Journal of Finance, 53, No.3 (Jun., 1998), pp. 1165-1190\r\n8.Cheuk, T.H.F. and Vorst, T.C.F. (1994): “Real-Life Barrier Options”, Unpublished manuscript, Erasmus University, Rotterdam, Netherlands\r\n9.Cox, J.C., Ross, S.A. and Rubinstein, M. (1979): “Option Pricing: A Simplified Approach”, Journal of Financial Economics, 7 (1979), pp. 229-264\r\n10.Espen Gaardder, H. (1998): The Complete Guide to Option Pricing Formulas, McGraw-Hill, New York\r\n11.Fries, P.C. (2007): Mathematical Finance: Theory, Modeling, Implementation, John Wiley & Sons, Inc. , New York\r\n12.German, H. and Yor, M. (1996): ”Pricing and Hedging Double Barrier Options: A Probabilistic Approach”, Mathematical Finance, 6 (1996), pp.365-378\r\n13.Glasserman, P. (2003): Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability), Springer, New York\r\n14.Kunitomo, N. and Ikeda, M. (1992): “Pricing Options with Curved Boundaries”, Mathematical Finance, 2 (1992), pp. 275-298\r\n15.Li, Anlong (1999): “The Pricing of Double Barrier Options and Their Variations”, Advances in Futures and Options Research, 10 (1999), pp. 17-41\r\n16.Merton, R.C. (1973): “Theory of Rational Option Pricing”, Bell Journal of Economics and Management Science, 4 (1973), pp. 141-183\r\n17.Reiner, E. and Rubinstein, M. (1991): “Breaking Down the Barriers”, Risk Magazine, 4 (1991), pp. 28-35\r\n18.Ritchken, P. (1995): “On Pricing Barrier Options”, Journal of Derivatives, 3 (1995), pp. 19-28\r\n19.Ritchken, P. and Salkin, H. (1983): “Safety First Selection Techniques for Option Spread”, Journal of Portfolio Management, 9, pp. 61-67\r\n20.Wilmott, P., Dewynne, J. and Howison, S. (1993): Option Pricing: Mathematical Models and Computation, Oxford Financial Press, Oxford\r\n21.Wystup, U. (2007): FX Options and Structured Products, John Wiley & Sons, Inc., New York\r\n22.Zvan, R., Forsyth, P. and Vertzal, K. (1998): “Robust Numerical Methods for PDE Models of Asian Options”, Journal of Computational Finance, 1(Winter) (1998), pp. 39-78zh_TW