1. NCCU Academic Hub
  2. Publications
  3. College of Commerce
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

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。
     　　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：
     1.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
     2.陳松男（民93）：結構型金融商品之設計及創新，新陸書局
     3.陳松男（民94）：結構型金融商品之設計及創新（二），新陸書局
     4.陳威光（民91）：選擇權－理論‧實務與應用，智勝出版社
     5.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
     6.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
     
     英文部分：
     1.Boyle, P.P. (1998): “An Explicit Finite Difference Approach to The Pricing of Barrier Options”, Applied Mathematical Finance, 5 (1998), pp. 17-43
     2.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
     3.Boyle, P.P. (1977): “Options: A Monte Carlo Approach”, Journal of Financial Economics, 4 (1977), pp. 323-338
     4.Brandimarte, P. (2002): Numerical Methods in Finance: A MATLAB-Based Introduction, John Wiley & Sons, Inc. , New York
     5.Broadie, M., Glasserman, P. and Kou, S. (1997): “A Continuity Correction for Discrete Barrier Options”, Mathematical Finance, 7 (1997), pp. 325-349
     6.Cao, G. and MacLeod, R. (2005): “Pricing Exotic Barrier Options with Finite Differences”, SSRN Working Paper Series
     7.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
     8.Cheuk, T.H.F. and Vorst, T.C.F. (1994): “Real-Life Barrier Options”, Unpublished manuscript, Erasmus University, Rotterdam, Netherlands
     9.Cox, J.C., Ross, S.A. and Rubinstein, M. (1979): “Option Pricing: A Simplified Approach”, Journal of Financial Economics, 7 (1979), pp. 229-264
     10.Espen Gaardder, H. (1998): The Complete Guide to Option Pricing Formulas, McGraw-Hill, New York
     11.Fries, P.C. (2007): Mathematical Finance: Theory, Modeling, Implementation, John Wiley & Sons, Inc. , New York
     12.German, H. and Yor, M. (1996): ”Pricing and Hedging Double Barrier Options: A Probabilistic Approach”, Mathematical Finance, 6 (1996), pp.365-378
     13.Glasserman, P. (2003): Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability), Springer, New York
     14.Kunitomo, N. and Ikeda, M. (1992): “Pricing Options with Curved Boundaries”, Mathematical Finance, 2 (1992), pp. 275-298
     15.Li, Anlong (1999): “The Pricing of Double Barrier Options and Their Variations”, Advances in Futures and Options Research, 10 (1999), pp. 17-41
     16.Merton, R.C. (1973): “Theory of Rational Option Pricing”, Bell Journal of Economics and Management Science, 4 (1973), pp. 141-183
     17.Reiner, E. and Rubinstein, M. (1991): “Breaking Down the Barriers”, Risk Magazine, 4 (1991), pp. 28-35
     18.Ritchken, P. (1995): “On Pricing Barrier Options”, Journal of Derivatives, 3 (1995), pp. 19-28
     19.Ritchken, P. and Salkin, H. (1983): “Safety First Selection Techniques for Option Spread”, Journal of Portfolio Management, 9, pp. 61-67
     20.Wilmott, P., Dewynne, J. and Howison, S. (1993): Option Pricing: Mathematical Models and Computation, Oxford Financial Press, Oxford
     21.Wystup, U. (2007): FX Options and Structured Products, John Wiley & Sons, Inc., New York
     22.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) http://nccur.lib.nccu.edu.tw/handle/140.119/94771-
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。
     　　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
     第一節 　界限選擇權簡介………………………………………………………1
     第二節 　研究動機………………………………………………………………2
     第三節 　研究目的………………………………………………………………3
     第四節 　研究架構………………………………………………………………4
     第二章 文獻回顧…………………………………………………………………6
     第三章 研究方法…………………………………………………………………8
     第一節 　基本假設………………………………………………………………8
     第二節 　有限差分法…………………………………………………………10
     第三節 　蒙地卡羅模擬法……………………………………………………22
     第四節 　封閉解………………………………………………………………24
     第五節 　避險參數Greeks求算－利用有限差分法…………………………26
     第四章 雙重界限觸及失效連動票券之個案研究……………………………29
     第一節 　商品介紹……………………………………………………………29
     第二節 　商品評價……………………………………………………………33
     第三節 　風險分析……………………………………………………………46
     第四節 　本章小結……………………………………………………………54
     第五章 區間累計匯率連動票券之個案研究…………………………………55
     第一節 　商品介紹……………………………………………………………55
     第二節 　商品評價……………………………………………………………60
     第三節 　風險分析……………………………………………………………72
     第四節 　本章小結……………………………………………………………79
     第六章 結論與建議……………………………………………………………80
     第一節 　結論…………………………………………………………………80
     第二節 　後續研究建議………………………………………………………83
     參考文獻……………………………………………………………………………84		zh_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：
     1.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
     2.陳松男（民93）：結構型金融商品之設計及創新，新陸書局
     3.陳松男（民94）：結構型金融商品之設計及創新（二），新陸書局
     4.陳威光（民91）：選擇權－理論‧實務與應用，智勝出版社
     5.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
     6.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
     
     英文部分：
     1.Boyle, P.P. (1998): “An Explicit Finite Difference Approach to The Pricing of Barrier Options”, Applied Mathematical Finance, 5 (1998), pp. 17-43
     2.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
     3.Boyle, P.P. (1977): “Options: A Monte Carlo Approach”, Journal of Financial Economics, 4 (1977), pp. 323-338
     4.Brandimarte, P. (2002): Numerical Methods in Finance: A MATLAB-Based Introduction, John Wiley & Sons, Inc. , New York
     5.Broadie, M., Glasserman, P. and Kou, S. (1997): “A Continuity Correction for Discrete Barrier Options”, Mathematical Finance, 7 (1997), pp. 325-349
     6.Cao, G. and MacLeod, R. (2005): “Pricing Exotic Barrier Options with Finite Differences”, SSRN Working Paper Series
     7.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
     8.Cheuk, T.H.F. and Vorst, T.C.F. (1994): “Real-Life Barrier Options”, Unpublished manuscript, Erasmus University, Rotterdam, Netherlands
     9.Cox, J.C., Ross, S.A. and Rubinstein, M. (1979): “Option Pricing: A Simplified Approach”, Journal of Financial Economics, 7 (1979), pp. 229-264
     10.Espen Gaardder, H. (1998): The Complete Guide to Option Pricing Formulas, McGraw-Hill, New York
     11.Fries, P.C. (2007): Mathematical Finance: Theory, Modeling, Implementation, John Wiley & Sons, Inc. , New York
     12.German, H. and Yor, M. (1996): ”Pricing and Hedging Double Barrier Options: A Probabilistic Approach”, Mathematical Finance, 6 (1996), pp.365-378
     13.Glasserman, P. (2003): Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability), Springer, New York
     14.Kunitomo, N. and Ikeda, M. (1992): “Pricing Options with Curved Boundaries”, Mathematical Finance, 2 (1992), pp. 275-298
     15.Li, Anlong (1999): “The Pricing of Double Barrier Options and Their Variations”, Advances in Futures and Options Research, 10 (1999), pp. 17-41
     16.Merton, R.C. (1973): “Theory of Rational Option Pricing”, Bell Journal of Economics and Management Science, 4 (1973), pp. 141-183
     17.Reiner, E. and Rubinstein, M. (1991): “Breaking Down the Barriers”, Risk Magazine, 4 (1991), pp. 28-35
     18.Ritchken, P. (1995): “On Pricing Barrier Options”, Journal of Derivatives, 3 (1995), pp. 19-28
     19.Ritchken, P. and Salkin, H. (1983): “Safety First Selection Techniques for Option Spread”, Journal of Portfolio Management, 9, pp. 61-67
     20.Wilmott, P., Dewynne, J. and Howison, S. (1993): Option Pricing: Mathematical Models and Computation, Oxford Financial Press, Oxford
     21.Wystup, U. (2007): FX Options and Structured Products, John Wiley & Sons, Inc., New York
     22.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		zh_TW