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| 題名 | 兩種匯率連動金融商品之研究 |
| 作者 | 姜一銘 Jiang, I-Ming |
| 貢獻者 | 陳松男 Chen ,Son-Nan 姜一銘 Jiang, I-Ming |
| 關鍵詞 | 匯率連動選擇權 遠期生效亞洲選擇權 重設型賣權 新奇選擇權 Quanto Options Forward-Start Asion Options Reset Put Options Exotic Options |
| 日期 | 2003 |
| 上傳時間 | 17-九月-2009 18:58:06 (UTC+8) |
| 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。 |
| 參考文獻 | 參考文獻 Black, F. and M. Scholes（1973）, “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy 81, pp637-654. Bouaziz, L., E. Briys and M. Crouhy（1994）, “The Pricing of Forward-Starting Asian options”, Journal of Banking and Finance 18, pp823-839. Brennan, M. J., and E. S. Schwartz（1978）, “Finite Difference Method and Jump Processes Arising in the Pricing of Contingent Claims”, Journal of Financial and Quantitative Analysis 13, pp461-474. Cheng, W. and S. Zhang（2000）, “The Analytics of Reset Options”, Journal of Derivatives, 8, pp59-71. Conze, A. and Viswanathan（1991）, “European Path Dependent Options： The Case of Geometric Averages”, Finance 12, pp7-22. Cox. J. C., Ross, S. and Rubinstein, M.（1979）, “Option Pricing： A Simplified Approach”, Journal of Financial Economics 7, pp229-106. Duffie, D.（1988）, “Security Markets：Stochastic Models”, New York: Academic Press. Gray, S. F. and R. E. Whaley（1997）, “Valuing S&P 500 Bear Market Reset Warrants with a Periodic Reset”, Journal of Derivatives, 5, pp99-106. Gray, S. F. and R. E. Whaley（1999）, “Reset Put Options：Valuation, Risk Characteristics, and an Application”, Australian Journal of Management, 24, pp1-20. Harrision, M. and D. Krep（1979）, “Martingales and Arbitrage in Multi-period Securities Markets”, Journal of Economic Theory, 20, pp381-408. Harrision, M. and S. Pliska（1981）, “Martingales and Stochastic Integrals in the Theory of Continuous Trading”, Stochastic Processes and Their Applications, 11, pp215-271. Karatzas, I. and S. Shreve（1991）, “Brownian Motion and Stochastic Calculus”, 2nd Ed, Springer-Varlag. Kemna, A. and T. Vorst（1990）, “A Pricing Method for Options Based on Average Asset Values”, Journal of Banking and Finance 14, pp113-129. Klebaner, F. C.（1998）, “Introduction to Stochastic Calculus with Applications”, Imperial College Press. Levy, E.（1992）, “Pricing European Average Rate Currency Options”, Journal of International Money and Finance 11（5）, pp474-491. Merton, R. C.（1973）, “The Theory of Rational Option Pricing”, Bell Journal of Economics and Management Science, 4, pp141-183. Milesky, M. A. and S. E. Posner（1998）, “Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution”, Journal of Financial and Quantitative Analysis 33（3）, pp409-422. Musiela, M. and M. Rutkowski（1997）, “Martingale Methods in Financial Modelling”, Springer. Nelken, I.（1998）, “Reassessing The Reset”, Risk（October）. Reiner, E.（1992）, “Quanto Mechanics”, Risk（March）. Tsao, C. Y., C.C. Chang, and C. G. Lin（2003）, “Analytic Approximation Formulate for Pricing Forward-starting Asian Options”, Journal of Futures Markets, Vol. 23（5）, pp487-516. Turnbull, S. M. and L. MacDonald Wakeman（1991）, “A Quick Algorithm for Pricing European Average Options”, Journal of Financial and Quantitative Analysis 26（3）, pp377-389. Whaley, R. E.（1994）, “Derivatives on Market Volatility： Hedging Tools Long Overdue”, Journal of Derivatives, 1, pp71-84. Zhang, P.（1997）, “Exotic Options”, World Scientific Publishing. |
| 描述 | 博士 國立政治大學 金融研究所 88352505 92 |
| 資料來源 | http://thesis.lib.nccu.edu.tw/record/#G0088352505 |
| 資料類型 | thesis |
| dc.contributor.advisor | 陳松男 | zh_TW |
| dc.contributor.advisor | Chen ,Son-Nan | en_US |
| dc.contributor.author (作者) | 姜一銘 | zh_TW |
| dc.contributor.author (作者) | 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 | 17-九月-2009 18:58:06 (UTC+8) | - |
| dc.date.available | 17-九月-2009 18:58:06 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-九月-2009 18:58:06 (UTC+8) | - |
| dc.identifier (其他 識別碼) | 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 1-1 1.1 研究動機與目的 1-1 1.2 研究架構 1-3 第二章 理論模型與評價方法介紹 2-1 2.1 基本假設與模型建立 2-1 2.2 評價方法介紹－風險中立評價方法 2-3 2.3 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 3-1 3.1 前言 3-1 3.2 固定匯率連動下的遠期生效（股票）亞洲選擇權 3-3 3.3 浮動匯率連動下的遠期生效（股票）亞洲選擇權 3-7 3.4 以本國貨幣計價下的外國資產遠期生效亞洲選擇權 3-13 3.5 股價連動下的遠期生效（匯率）亞洲選擇權 3-16 3.6 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 4-1 4.1 前言 4-1 4.2 固定匯率連動下的（股票）重設型賣權 4-2 4.3 浮動匯率連動下的（股票）重設型賣權 4-12 4.4 以本國貨幣計價下的外國資產重設型賣權 4-21 4.5 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 5-1 5..1 研究結論 5-1 5.2 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 |
| dc.relation.reference (參考文獻) | Black, F. and M. Scholes（1973）, “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy 81, pp637-654. | zh_TW |
| dc.relation.reference (參考文獻) | Bouaziz, L., E. Briys and M. Crouhy（1994）, “The Pricing of Forward-Starting Asian options”, Journal of Banking and Finance 18, pp823-839. | zh_TW |
| dc.relation.reference (參考文獻) | Brennan, M. J., and E. S. Schwartz（1978）, “Finite Difference Method and Jump Processes Arising in the Pricing of Contingent Claims”, Journal of Financial and Quantitative Analysis 13, pp461-474. | zh_TW |
| dc.relation.reference (參考文獻) | Cheng, W. and S. Zhang（2000）, “The Analytics of Reset Options”, Journal of Derivatives, 8, pp59-71. | zh_TW |
| dc.relation.reference (參考文獻) | Conze, A. and Viswanathan（1991）, “European Path Dependent Options： The Case of Geometric Averages”, Finance 12, pp7-22. | zh_TW |
| dc.relation.reference (參考文獻) | Cox. J. C., Ross, S. and Rubinstein, M.（1979）, “Option Pricing： A Simplified Approach”, Journal of Financial Economics 7, pp229-106. | zh_TW |
| dc.relation.reference (參考文獻) | Duffie, D.（1988）, “Security Markets：Stochastic Models”, New York: Academic Press. | zh_TW |
| dc.relation.reference (參考文獻) | Gray, S. F. and R. E. Whaley（1997）, “Valuing S&P 500 Bear Market Reset Warrants with a Periodic Reset”, Journal of Derivatives, 5, pp99-106. | zh_TW |
| dc.relation.reference (參考文獻) | Gray, S. F. and R. E. Whaley（1999）, “Reset Put Options：Valuation, Risk Characteristics, and an Application”, Australian Journal of Management, 24, pp1-20. | zh_TW |
| dc.relation.reference (參考文獻) | Harrision, M. and D. Krep（1979）, “Martingales and Arbitrage in Multi-period Securities Markets”, Journal of Economic Theory, 20, pp381-408. | zh_TW |
| dc.relation.reference (參考文獻) | Harrision, M. and S. Pliska（1981）, “Martingales and Stochastic Integrals in the Theory of Continuous Trading”, Stochastic Processes and Their Applications, 11, pp215-271. | zh_TW |
| dc.relation.reference (參考文獻) | Karatzas, I. and S. Shreve（1991）, “Brownian Motion and Stochastic Calculus”, 2nd Ed, Springer-Varlag. | zh_TW |
| dc.relation.reference (參考文獻) | Kemna, A. and T. Vorst（1990）, “A Pricing Method for Options Based on Average Asset Values”, Journal of Banking and Finance 14, pp113-129. | zh_TW |
| dc.relation.reference (參考文獻) | Klebaner, F. C.（1998）, “Introduction to Stochastic Calculus with Applications”, Imperial College Press. | zh_TW |
| dc.relation.reference (參考文獻) | Levy, E.（1992）, “Pricing European Average Rate Currency Options”, Journal of International Money and Finance 11（5）, pp474-491. | zh_TW |
| dc.relation.reference (參考文獻) | Merton, R. C.（1973）, “The Theory of Rational Option Pricing”, Bell Journal of Economics and Management Science, 4, pp141-183. | zh_TW |
| dc.relation.reference (參考文獻) | Milesky, M. A. and S. E. Posner（1998）, “Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution”, Journal of Financial and Quantitative Analysis 33（3）, pp409-422. | zh_TW |
| dc.relation.reference (參考文獻) | Musiela, M. and M. Rutkowski（1997）, “Martingale Methods in Financial Modelling”, Springer. | zh_TW |
| dc.relation.reference (參考文獻) | Nelken, I.（1998）, “Reassessing The Reset”, Risk（October）. | zh_TW |
| dc.relation.reference (參考文獻) | Reiner, E.（1992）, “Quanto Mechanics”, Risk（March）. | zh_TW |
| dc.relation.reference (參考文獻) | Tsao, C. Y., C.C. Chang, and C. G. Lin（2003）, “Analytic Approximation Formulate for Pricing Forward-starting Asian Options”, Journal of Futures Markets, Vol. 23（5）, pp487-516. | zh_TW |
| dc.relation.reference (參考文獻) | Turnbull, S. M. and L. MacDonald Wakeman（1991）, “A Quick Algorithm for Pricing European Average Options”, Journal of Financial and Quantitative Analysis 26（3）, pp377-389. | zh_TW |
| dc.relation.reference (參考文獻) | Whaley, R. E.（1994）, “Derivatives on Market Volatility： Hedging Tools Long Overdue”, Journal of Derivatives, 1, pp71-84. | zh_TW |
| dc.relation.reference (參考文獻) | Zhang, P.（1997）, “Exotic Options”, World Scientific Publishing. | zh_TW |