| dc.contributor.advisor | 陳松男 | zh_TW |
| dc.contributor.advisor | Chen ,Son-Nan | en_US |
| dc.contributor.author (Authors) | 姜一銘 | zh_TW |
| dc.contributor.author (Authors) | Jiang, I-Ming | en_US |
| dc.creator (作者) | 姜一銘 | zh_TW |
| dc.creator (作者) | Jiang, I-Ming | en_US |
| dc.date (日期) | 2003 | en_US |
| dc.date.accessioned | 17-Sep-2009 18:58:06 (UTC+8) | - |
| dc.date.available | 17-Sep-2009 18:58:06 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Sep-2009 18:58:06 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0088352505 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/33970 | - |
| dc.description (描述) | 博士 | 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) | 88352505 | zh_TW |
| dc.description (描述) | 92 | zh_TW |
| dc.description.abstract (摘要) | 論文摘要Reiner（1992）說明投資人對他國投資股票時，除了關心外國股價風險外，也關切匯率變動的風險，所以他提出了匯率連動選擇權，來規避匯率風險。另外，對於規避股價風險方面，Bouaziz, Briys and Crouhy（1994；以下簡稱BBC（1994））為了防止商品受人為操縱或其他原因而產生不合理的股價風險，提出遠期生效亞洲選擇權。以及Gray及Whaley（1999）提出了重設型賣權，它不但具有一般賣權的基本特徵，也能使投資人於購買股票時，同時買進一個重設型賣權。它不但可規避股價下跌的風險，在股價上升時，因賣權的重設使得保險的底值（Floor）向上提昇而鎖住股價上漲的資本利得。本論文分別結合上述兩種選擇權的特徵（規避匯率風險與股價風險）而設計出兩種新金融商品，分別是：「匯率連動遠期生效亞洲選擇權」與「匯率連動重設型賣權」。它們的優點為：（1）可提供投資人同時對外國股價風險及匯率風險進行避險。（2）同時，評價模型的簡單化（類似Black-Scholes模型）以及避險操作的簡易性，使發行券商（或銀行）可獲得風險控管，因此可降低避險損失，提昇利潤。 | zh_TW |
| dc.description.tableofcontents | 目 錄第一章 緒論 1-11.1 研究動機與目的 1-11.2 研究架構 1-3第二章 理論模型與評價方法介紹 2-12.1 基本假設與模型建立 2-12.2 評價方法介紹－風險中立評價方法 2-32.3 Girsanov定理說明及應用 2-4第三章 匯率連動遠期生效亞洲選擇權：評價與準確性 3-1本章摘要 3-13.1 前言 3-13.2 固定匯率連動下的遠期生效（股票）亞洲選擇權 3-33.3 浮動匯率連動下的遠期生效（股票）亞洲選擇權 3-73.4 以本國貨幣計價下的外國資產遠期生效亞洲選擇權 3-133.5 股價連動下的遠期生效（匯率）亞洲選擇權 3-163.6 評價模型的準確度 3-20本章附錄一至附錄四 3-28第四章 匯率連動重設型賣權：評價與風險特徵 4-1本章摘要 4-14.1 前言 4-14.2 固定匯率連動下的（股票）重設型賣權 4-24.3 浮動匯率連動下的（股票）重設型賣權 4-124.4 以本國貨幣計價下的外國資產重設型賣權 4-214.5 股價連動下的（匯率）重設型賣權 4-28本章附錄一至附錄五 4-37第五章 結論與未來研究方向 5-15..1 研究結論 5-15.2 未來研究方向 5-2參考文獻 Ref-i圖 表表3-1 一階泰勒近似封閉解數值、最大誤差上限及最大誤差百分比 3-23表3-2 二階泰勒近似封閉解數值、最大誤差上限及最大誤差百分比 3-23表3-3 一階泰勒近似封閉解敏感度分析 3-24表3-4 二階泰勒近似封閉解敏感度分析 3-25圖3-1 履約價重設說明 4-1圖3-2 固定匯率連動（股價）重設型賣權成份拆解 4-8圖3-3 固定匯率連動（股價）重設型賣權與歐式賣權之比較 4-10圖3-4 固定匯率連動（股價）重設型賣權與歐式賣權之Delta比較 4-11圖4-1 浮動匯率連動（股價）重設型賣權成份拆解 4-16圖4-2 浮動匯率連動（股價）重設型賣權與歐式賣權比較 4-18圖4-3 浮動匯率連動（股價）重設型賣權與歐式賣權之Delta比較 4-19圖5-1 履約價重設說明 4-22圖5-2 以本國貨幣計價下外國資產重設型賣權成份拆解 4-25圖5-3 以本國貨幣計價下外國資產重設型賣權與歐式賣權之比較 4-27圖5-4 以本國貨幣計價下外國資產重設型賣權與歐式賣權之Delta比較 4-28圖6-1 履約價重設說明 4-29圖6-2 股價連動（匯率）重設型賣權成份拆解 4-33圖6-3 股價連動（匯率）重設型賣權與歐式賣權之比較 4-24圖6-4 股價連動（匯率）重設型賣權與歐式賣權之Delta比較 4-25 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0088352505 | en_US |
| dc.subject (關鍵詞) | 匯率連動選擇權 | zh_TW |
| dc.subject (關鍵詞) | 遠期生效亞洲選擇權 | zh_TW |
| dc.subject (關鍵詞) | 重設型賣權 | zh_TW |
| dc.subject (關鍵詞) | 新奇選擇權 | zh_TW |
| dc.subject (關鍵詞) | Quanto Options | en_US |
| dc.subject (關鍵詞) | Forward-Start Asion Options | en_US |
| dc.subject (關鍵詞) | Reset Put Options | en_US |
| dc.subject (關鍵詞) | Exotic Options | en_US |
| dc.title (題名) | 兩種匯率連動金融商品之研究 | zh_TW |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 參考文獻 | zh_TW |
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