| dc.coverage.temporal | 計畫年度：91 起迄日期：20020801～20030731 | en_US |
| dc.creator (作者) | 廖四郎 | zh_TW |
| dc.date (日期) | 2002 | en_US |
| dc.date.accessioned | 18-Apr-2007 16:34:42 (UTC+8) | en_US |
| dc.date.accessioned | 8-Sep-2008 16:43:04 (UTC+8) | - |
| dc.date.available | 18-Apr-2007 16:34:42 (UTC+8) | en_US |
| dc.date.available | 8-Sep-2008 16:43:04 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Apr-2007 16:34:42 (UTC+8) | en_US |
| dc.identifier (Other Identifiers) | 912416H004028.pdf | en_US |
| dc.identifier.uri (URI) | http://tair.lib.ntu.edu.tw:8000/123456789/3711 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/3711 | - |
| dc.description (描述) | 核定金額：536800元 | en_US |
| dc.description.abstract (摘要) | 本研究推導出含有 m 個重設履約價及 n 個事先決定重設日之重設選擇權封閉解，並且也推導出其在連續重設時間下的公式解。我們發現重設選擇權不僅有 Delta 和 Gamma 跳躍的現象，而且其在重設日期前存在有 Delta 和 Gamma 波浪現象。另外，當股價接近重設履約價且時間接近重設日期時， Delta 和 Gamma 有可能為負。 | - |
| dc.description.abstract (摘要) | This research provides the closed-form pricing formulas of reset options with m strike resets and n pre-decided reset dates. The exact closed-form pricing formulas of reset options with m strike resets and continuous reset period are also derived. Also, we find that the reset options not only have the phenomena of Delta jump and Gamma jump across reset dates, but also have the properties of Delta waviness and Gamma waviness, especially near the time before reset dates. Furthermore, Delta and Gamma can be negative when the stock price is near the strike resets at the times close to the reset dates. | - |
| dc.format | applicaiton/pdf | en_US |
| dc.format.extent | bytes | en_US |
| dc.format.extent | 153078 bytes | en_US |
| dc.format.extent | 153078 bytes | - |
| dc.format.extent | 32292 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) | 重設選擇權;多層重設履約價;Delta 波浪;Gamma 波浪 | - |
| dc.subject (關鍵詞) | Reset Options;Multiple Strike Resets;Delta waviness;Gamma waviness | - |
| dc.title (題名) | 多層重設型選擇權之訂價及避險策略 | zh_TW |
| dc.title.alternative (其他題名) | Pricing Reset Options with Multiple Resets and Hedging Strategies | - |
| dc.type (資料類型) | report | en |
