| dc.coverage.temporal | 計畫年度：89 起迄日期：20000801～20010731 | en_US |
| dc.creator (作者) | 陳松男 | zh_TW |
| dc.date (日期) | 2000 | en_US |
| dc.date.accessioned | 18-Apr-2007 16:34:52 (UTC+8) | en_US |
| dc.date.accessioned | 8-Sep-2008 16:41:51 (UTC+8) | - |
| dc.date.available | 18-Apr-2007 16:34:52 (UTC+8) | en_US |
| dc.date.available | 8-Sep-2008 16:41:51 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Apr-2007 16:34:52 (UTC+8) | en_US |
| dc.identifier (Other Identifiers) | 892416H004080.pdf | en_US |
| dc.identifier.uri (URI) | http://tair.lib.ntu.edu.tw:8000/123456789/3728 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/3728 | - |
| dc.description (描述) | 核定金額：488400元 | en_US |
| dc.description.abstract (摘要) | In the paper, we explain the reason why one should not directly apply the Black - Scholes model to pricing and hedging European basket options, nor one should use the Black - Scholes delta for the hedging purpose. We derive analytically an appropriate pricing model for European basket options. At the same time, an appropriate hedging method for the options is also provided. Empirical evidence is performed to support the theoretical claim of the paper. The results of this paper will provide basket option writers the appropriate ways to price and to hedge basket options. | - |
| dc.format | applicaiton/pdf | en_US |
| dc.format.extent | bytes | en_US |
| dc.format.extent | 1933931 bytes | en_US |
| dc.format.extent | 1933931 bytes | - |
| dc.format.extent | 1315 bytes | - |
| dc.format.mimetype | application/pdf | en_US |
| dc.format.mimetype | application/pdf | en_US |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | text/plain | - |
| dc.language | zh-TW | en_US |
| dc.language.iso | zh-TW | en_US |
| dc.publisher (Publisher) | 臺北市：國立政治大學金融系 | en_US |
| dc.rights (Rights) | 行政院國家科學委員會 | en_US |
| dc.subject (關鍵詞) | 避險效果;組合型權證;認股權證;評價模式;歐式選擇權;隱含波動性;沖銷風險 | - |
| dc.subject (關鍵詞) | Hedging effectiveness;Warrant;Pricing model;European option;Implied volatility | - |
| dc.title (題名) | 組合型權證的正確評價及避險方法 | zh_TW |
| dc.type (資料類型) | report | en |
