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題名 能源與貴金屬連結及利率連結之結構型商品評價與分析─以中國銀行結構性存款為例
The Pricing and Analysis of Commodities-Linked and Interest Rate-Linked Structured Products: The Case Study of Structured Deposits Launched by Bank of China
作者 蔡昌甫
Tsai,Chang Fu
貢獻者 陳松男
Chen,Son Nan
蔡昌甫
Tsai,Chang Fu
關鍵詞 複合式選擇權
每日區間計息
結構性存款
幾何布朗運動
均數回歸
LIBOR市場模型
最小平方蒙地卡羅法
compound option
range accrual deposit
BGM Model
Geometric Brownian Motion
Mean Reversion
LIBOR Market Model
Least Squares Monte Carlo
日期 2007
上傳時間 14-Sep-2009 09:36:49 (UTC+8)
摘要 在過去二到三年之中,能源、金屬、軟性商品等原物料價格漲勢強勁,成為市場上最炙手可熱的商品。然而,原物料價格漲升為全球帶來了通膨隱憂,世界各國紛紛採用各種貨幣政策和財政政策試圖緩解通膨壓力。其中,利率政策即是相當重要的一環。在這樣的背景之下,是否對於能源、貴金屬和利率衍生性商品的設計和定價上產生影響,值得進一步檢視。因此,本論文選擇以中國大陸的原油與黃金連結複合式選擇權,以及利率(HIBOR)連結可贖回每日區間計息等兩種結構性存款作為研究個案,以財務工程的理論模型為中國銀行的金融創新產品作評價與分析。
     
      在原油與黃金連結複合式選擇權部分,分別假設金價和油價服從幾何布朗運動(Geometric Brownian Motion)推導出封閉解,以及Schwartz的一因子均數回歸模型,採蒙地卡羅模擬法模擬標的資產之價格路徑並以之估算商品理論價值和發行機構利潤,之後則就避險參數和商品預期收益率作分析。在利率連結可贖回每日區間計息結構性存款部分,由於具有發行機構可提前贖回的特性,本論文採用LIBOR市場模型(BGM Model)為評價基礎,先利用市場報價資訊計算期初遠期利率及進行參數校準,再以蒙地卡羅模擬法模擬遠期利率路徑,最後以Longstaff and Schwartz(2001)提出的最小平方蒙地卡羅法(LSM)計算商品理論價值和發行機構利潤。
     
      除估算商品理論價值以檢視中國銀行的商品定價合理性之外,本文也針對中國大陸的外匯和利率政策對金融機構在商品設計方面的影響作分析,最後則分別就財務工程與金融創新以及總體政策與金融市場兩方面提出結論與建議,以供各界參酌。
The prices of physical commodities have risen a lot and led to pressure of inflation for several years. Many countries over the world have tried hard to tackle inflation threat with monetary and fiscal policies. Under this circumstance, the design and pricing of structured products should be affected. Therefore, the oil and gold-linked and interest rate-linked structured deposits launched by Bank of China are selected to be the case study in this thesis.
     
      Prices of the underlying assets are assumed to follow Geometric Brownian Motion, and the close-form solution of the oil and gold-linked structured deposit embedded with compound options is derived. Moreover, Schwartz’s One-Factor Mean Reversion Model is adopted to derive the fair value by simulation. In addition to the fair value and issuer’s profit, the expected rate of return, hedge parameters (Greeks) and model difference are presented in this thesis. As for the interest rate-linked Callable Daily Range Accrual Deposit, the thesis presents the steps of pricing by simulation. LIBOR Market Model (BGM Model) is adopted to derive the fair value of Callable Range Deposit with Least Squares Monte Carlo approach.
     
      Besides, the design and pricing of structured products are actually influenced by those policies in relation to interest rates and currencies adopted by government of Mainland China. The influence is discussed in the thesis as well. Eventually, the conclusions and suggestions are made with respect to macroeconomic policy and financial market as well as financial innovation.
參考文獻 一、中文部分
1. 中國人民銀行貨幣政策分析小組,「中國貨幣政策執行報告─2007年第1季度」,中國人民銀行,2007年5月。
2. 王儷容、蔡昌甫、紀嘉瑜,「近期大陸金融發展情勢及因應策略之研究」,行政院大陸委員會委託研究計畫,中華經濟研究院,2008年5月。
3. 台灣期貨交易所,「全球黃金期貨市場介紹」,2005年10月。
4. 殷劍峰,「中國金融產品與服務報告」,社會科學文獻出版社,2007年6月。
5. 陳松男,「利率金融工程學:理論模型及實務應用」,新陸書局,2006年1月。
二、英文部分
1. Al-Harthy, M., ”Stochastic Oil Price Models: Comparison and Impact”, Engineering Economist, Vol. 52(3), pp. 269-274, 2007.
2. Baker, M., Mayfield, S., and Parsons, J., “Alternative Models of Uncertain Commodity Prices for Use with Modern Asset Pricing Methods”, The Energy Journal, Vol. 19(1), pp. 115-148, 1998.
3. Bessembinder, H., Coughenour, J., Seguin, P., and Smoller, M., “Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure”, The Journal of Finance, Vol. 50(1), pp. 361-375, 1995.
4. Brace, A., Gatarek, D., and Musiela, M., “The Market Model of Interest Rate Dynamics”, Mathematical Finance, Vol. 7(2), pp. 127-155, 1997.
5. Brigo, D., and Mercurio, F., “Interest Rate Models: Theory and Practice”,Springer, 2001.
6. Cox, J., Ingersoll, J., and Ross, S., “An Intertemporal General Equilibrium Model of Asset Prices”, Econometrica, Vol. 53(2), pp. 363-384, 1985.
7. Dias, M., "Monte Carlo Simulation of Stochastic Processes", Real Options Approach to Petroleum Investment(Website), 2004.
8. Dixit, K., and Pindyck R., “Investment under Uncertainty”, Princeton University Press, 1994.
9. Heath, D., Jarrow, R., and Merton, A., “Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation”, Econometrica, Vol. 60(1), pp. 77-105, 1992.
10. Ho, T., and Lee, S., “Term Structure Movements and Pricing Interest Rate Contingent Claims”, The Journal of Finance, Vol. 41(5), pp. 1011-1029, 1986.
11. Holton, G., ”Value-at-Risk: Theory and Practice”, Elsevier Science, 2003.
12. Hull, J., and White, A., “Pricing Interest-Rate-Derivative Securities”, The Review of Financial Studies, Vol. 3(4), pp. 573-592, 1990.
13. Kocagil, A., “Optionality and Daily Dynamics of Convenience Yield Behavior: An Empirical Analysis”, The Journal of Financial Research, Vol. 27(1), pp. 143-158, 2004.
14. Lewis, M., ”The Universe of Commodity Indices”, Deutsche Bank Guide to Commodity Indices, 2007.
15. Longstaff F., and Schwartz E., “Valuing American Options by Simulation: A Simple Lease-Squares Approach”, The Review of Financial Studies, Vol. 14(1), pp. 113-147, 2001.
16. Piterbarg, V., “Pricing and Hedging Callable Libor Exotics in Forward Libor Models”, Journal of Computational Finance, Vol. 8(2), pp. 65-117, 2004.
17. Rogers, J., “Strategy, Value and Risk- The Real Options Approach: Reconciling Innovation, Strategy and Value Management”, Palgrave, 2002.
18. Schwartz, E., “The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging”, The Journal of Finance, Vol. 52(3), pp. 923-973, 1997.
19. Turnbull, S., “Interest Rate Digital Options and Range Notes”, The Journal of Derivatives, Fall, pp. 92-101, 1995.
20. Vasicek, O., "An Equilibrium Characterization of the Term Structure", Journal of Financial Economics, Vol. 5(2), pp. 177-188, 1977.
描述 碩士
國立政治大學
金融研究所
95352027
96
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0953520271
資料類型 thesis
dc.contributor.advisor 陳松男zh_TW
dc.contributor.advisor Chen,Son Nanen_US
dc.contributor.author (Authors) 蔡昌甫zh_TW
dc.contributor.author (Authors) Tsai,Chang Fuen_US
dc.creator (作者) 蔡昌甫zh_TW
dc.creator (作者) Tsai,Chang Fuen_US
dc.date (日期) 2007en_US
dc.date.accessioned 14-Sep-2009 09:36:49 (UTC+8)-
dc.date.available 14-Sep-2009 09:36:49 (UTC+8)-
dc.date.issued (上傳時間) 14-Sep-2009 09:36:49 (UTC+8)-
dc.identifier (Other Identifiers) G0953520271en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/31253-
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) 95352027zh_TW
dc.description (描述) 96zh_TW
dc.description.abstract (摘要) 在過去二到三年之中,能源、金屬、軟性商品等原物料價格漲勢強勁,成為市場上最炙手可熱的商品。然而,原物料價格漲升為全球帶來了通膨隱憂,世界各國紛紛採用各種貨幣政策和財政政策試圖緩解通膨壓力。其中,利率政策即是相當重要的一環。在這樣的背景之下,是否對於能源、貴金屬和利率衍生性商品的設計和定價上產生影響,值得進一步檢視。因此,本論文選擇以中國大陸的原油與黃金連結複合式選擇權,以及利率(HIBOR)連結可贖回每日區間計息等兩種結構性存款作為研究個案,以財務工程的理論模型為中國銀行的金融創新產品作評價與分析。
     
      在原油與黃金連結複合式選擇權部分,分別假設金價和油價服從幾何布朗運動(Geometric Brownian Motion)推導出封閉解,以及Schwartz的一因子均數回歸模型,採蒙地卡羅模擬法模擬標的資產之價格路徑並以之估算商品理論價值和發行機構利潤,之後則就避險參數和商品預期收益率作分析。在利率連結可贖回每日區間計息結構性存款部分,由於具有發行機構可提前贖回的特性,本論文採用LIBOR市場模型(BGM Model)為評價基礎,先利用市場報價資訊計算期初遠期利率及進行參數校準,再以蒙地卡羅模擬法模擬遠期利率路徑,最後以Longstaff and Schwartz(2001)提出的最小平方蒙地卡羅法(LSM)計算商品理論價值和發行機構利潤。
     
      除估算商品理論價值以檢視中國銀行的商品定價合理性之外,本文也針對中國大陸的外匯和利率政策對金融機構在商品設計方面的影響作分析,最後則分別就財務工程與金融創新以及總體政策與金融市場兩方面提出結論與建議,以供各界參酌。
zh_TW
dc.description.abstract (摘要) The prices of physical commodities have risen a lot and led to pressure of inflation for several years. Many countries over the world have tried hard to tackle inflation threat with monetary and fiscal policies. Under this circumstance, the design and pricing of structured products should be affected. Therefore, the oil and gold-linked and interest rate-linked structured deposits launched by Bank of China are selected to be the case study in this thesis.
     
      Prices of the underlying assets are assumed to follow Geometric Brownian Motion, and the close-form solution of the oil and gold-linked structured deposit embedded with compound options is derived. Moreover, Schwartz’s One-Factor Mean Reversion Model is adopted to derive the fair value by simulation. In addition to the fair value and issuer’s profit, the expected rate of return, hedge parameters (Greeks) and model difference are presented in this thesis. As for the interest rate-linked Callable Daily Range Accrual Deposit, the thesis presents the steps of pricing by simulation. LIBOR Market Model (BGM Model) is adopted to derive the fair value of Callable Range Deposit with Least Squares Monte Carlo approach.
     
      Besides, the design and pricing of structured products are actually influenced by those policies in relation to interest rates and currencies adopted by government of Mainland China. The influence is discussed in the thesis as well. Eventually, the conclusions and suggestions are made with respect to macroeconomic policy and financial market as well as financial innovation.
en_US
dc.description.tableofcontents 口試委員會審定書.................................................................................i
     謝辭......................................................................................................ii
     中文摘要..............................................................................................iii
     英文摘要 ABSTRACT........................................................................iv
     目錄......................................................................................................v
     圖目錄................................................................................................vii
     表目錄...............................................................................................viii
     第一章 序論.........................................................................................1
     第一節 研究動機........................................................................1
     第二節 研究目的與預期效益.....................................................2
     第三節 研究架構與研究流程.....................................................2
     第二章 文獻回顧.................................................................................5
     第一節 能源與金屬價格模型相關文獻......................................5
     第二節 利率模型相關文獻.........................................................6
     第三章 研究理論與研究方法.............................................................11
     第一節 評價理論與模型..........................................................11
     第二節 相關研究方法..............................................................19
     第三節 研究限制......................................................................22
     第四章 個案研究─中國銀行結構性存款..........................................23
     第一節 結構性存款介紹..........................................................23
     第二節 發行機構介紹─中國銀行............................................33
     第五章 中國銀行匯聚寶 0701A“金牌+油"個案分析....................37
     第一節 商品介紹......................................................................37
     第二節 發行背景與投資人風險分析........................................42
     第三節 商品評價與分析..........................................................47
     第四節 其他分析與建議..........................................................65
     第六章 中國銀行匯聚寶 0509C“港幣日進斗金"個案分析...........71
     第一節 商品介紹......................................................................71
     第二節 發行背景與投資人風險分析........................................73
     第三節 商品評價與分析..........................................................78
     第四節 其他分析與建議..........................................................88
     第七章 結論與建議............................................................................93
     參考文獻.............................................................................................97
     附錄一 “金牌+油"封閉解推導過程..............................................100
     附錄二 “金牌+油"簡化後封閉解..................................................106
zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0953520271en_US
dc.subject (關鍵詞) 複合式選擇權zh_TW
dc.subject (關鍵詞) 每日區間計息zh_TW
dc.subject (關鍵詞) 結構性存款zh_TW
dc.subject (關鍵詞) 幾何布朗運動zh_TW
dc.subject (關鍵詞) 均數回歸zh_TW
dc.subject (關鍵詞) LIBOR市場模型zh_TW
dc.subject (關鍵詞) 最小平方蒙地卡羅法zh_TW
dc.subject (關鍵詞) compound optionen_US
dc.subject (關鍵詞) range accrual depositen_US
dc.subject (關鍵詞) BGM Modelen_US
dc.subject (關鍵詞) Geometric Brownian Motionen_US
dc.subject (關鍵詞) Mean Reversionen_US
dc.subject (關鍵詞) LIBOR Market Modelen_US
dc.subject (關鍵詞) Least Squares Monte Carloen_US
dc.title (題名) 能源與貴金屬連結及利率連結之結構型商品評價與分析─以中國銀行結構性存款為例zh_TW
dc.title (題名) The Pricing and Analysis of Commodities-Linked and Interest Rate-Linked Structured Products: The Case Study of Structured Deposits Launched by Bank of Chinaen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 一、中文部分zh_TW
dc.relation.reference (參考文獻) 1. 中國人民銀行貨幣政策分析小組,「中國貨幣政策執行報告─2007年第1季度」,中國人民銀行,2007年5月。zh_TW
dc.relation.reference (參考文獻) 2. 王儷容、蔡昌甫、紀嘉瑜,「近期大陸金融發展情勢及因應策略之研究」,行政院大陸委員會委託研究計畫,中華經濟研究院,2008年5月。zh_TW
dc.relation.reference (參考文獻) 3. 台灣期貨交易所,「全球黃金期貨市場介紹」,2005年10月。zh_TW
dc.relation.reference (參考文獻) 4. 殷劍峰,「中國金融產品與服務報告」,社會科學文獻出版社,2007年6月。zh_TW
dc.relation.reference (參考文獻) 5. 陳松男,「利率金融工程學:理論模型及實務應用」,新陸書局,2006年1月。zh_TW
dc.relation.reference (參考文獻) 二、英文部分zh_TW
dc.relation.reference (參考文獻) 1. Al-Harthy, M., ”Stochastic Oil Price Models: Comparison and Impact”, Engineering Economist, Vol. 52(3), pp. 269-274, 2007.zh_TW
dc.relation.reference (參考文獻) 2. Baker, M., Mayfield, S., and Parsons, J., “Alternative Models of Uncertain Commodity Prices for Use with Modern Asset Pricing Methods”, The Energy Journal, Vol. 19(1), pp. 115-148, 1998.zh_TW
dc.relation.reference (參考文獻) 3. Bessembinder, H., Coughenour, J., Seguin, P., and Smoller, M., “Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure”, The Journal of Finance, Vol. 50(1), pp. 361-375, 1995.zh_TW
dc.relation.reference (參考文獻) 4. Brace, A., Gatarek, D., and Musiela, M., “The Market Model of Interest Rate Dynamics”, Mathematical Finance, Vol. 7(2), pp. 127-155, 1997.zh_TW
dc.relation.reference (參考文獻) 5. Brigo, D., and Mercurio, F., “Interest Rate Models: Theory and Practice”,Springer, 2001.zh_TW
dc.relation.reference (參考文獻) 6. Cox, J., Ingersoll, J., and Ross, S., “An Intertemporal General Equilibrium Model of Asset Prices”, Econometrica, Vol. 53(2), pp. 363-384, 1985.zh_TW
dc.relation.reference (參考文獻) 7. Dias, M., "Monte Carlo Simulation of Stochastic Processes", Real Options Approach to Petroleum Investment(Website), 2004.zh_TW
dc.relation.reference (參考文獻) 8. Dixit, K., and Pindyck R., “Investment under Uncertainty”, Princeton University Press, 1994.zh_TW
dc.relation.reference (參考文獻) 9. Heath, D., Jarrow, R., and Merton, A., “Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation”, Econometrica, Vol. 60(1), pp. 77-105, 1992.zh_TW
dc.relation.reference (參考文獻) 10. Ho, T., and Lee, S., “Term Structure Movements and Pricing Interest Rate Contingent Claims”, The Journal of Finance, Vol. 41(5), pp. 1011-1029, 1986.zh_TW
dc.relation.reference (參考文獻) 11. Holton, G., ”Value-at-Risk: Theory and Practice”, Elsevier Science, 2003.zh_TW
dc.relation.reference (參考文獻) 12. Hull, J., and White, A., “Pricing Interest-Rate-Derivative Securities”, The Review of Financial Studies, Vol. 3(4), pp. 573-592, 1990.zh_TW
dc.relation.reference (參考文獻) 13. Kocagil, A., “Optionality and Daily Dynamics of Convenience Yield Behavior: An Empirical Analysis”, The Journal of Financial Research, Vol. 27(1), pp. 143-158, 2004.zh_TW
dc.relation.reference (參考文獻) 14. Lewis, M., ”The Universe of Commodity Indices”, Deutsche Bank Guide to Commodity Indices, 2007.zh_TW
dc.relation.reference (參考文獻) 15. Longstaff F., and Schwartz E., “Valuing American Options by Simulation: A Simple Lease-Squares Approach”, The Review of Financial Studies, Vol. 14(1), pp. 113-147, 2001.zh_TW
dc.relation.reference (參考文獻) 16. Piterbarg, V., “Pricing and Hedging Callable Libor Exotics in Forward Libor Models”, Journal of Computational Finance, Vol. 8(2), pp. 65-117, 2004.zh_TW
dc.relation.reference (參考文獻) 17. Rogers, J., “Strategy, Value and Risk- The Real Options Approach: Reconciling Innovation, Strategy and Value Management”, Palgrave, 2002.zh_TW
dc.relation.reference (參考文獻) 18. Schwartz, E., “The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging”, The Journal of Finance, Vol. 52(3), pp. 923-973, 1997.zh_TW
dc.relation.reference (參考文獻) 19. Turnbull, S., “Interest Rate Digital Options and Range Notes”, The Journal of Derivatives, Fall, pp. 92-101, 1995.zh_TW
dc.relation.reference (參考文獻) 20. Vasicek, O., "An Equilibrium Characterization of the Term Structure", Journal of Financial Economics, Vol. 5(2), pp. 177-188, 1977.zh_TW