| dc.contributor.advisor | 陳威光<br>江彌修 | zh_TW |
| dc.contributor.advisor | <br> | en_US |
| dc.contributor.author (Authors) | 粘哲偉 | zh_TW |
| dc.creator (作者) | 粘哲偉 | zh_TW |
| dc.date (日期) | 2003 | en_US |
| dc.date.accessioned | 17-Sep-2009 19:00:55 (UTC+8) | - |
| dc.date.available | 17-Sep-2009 19:00:55 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Sep-2009 19:00:55 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0091352010 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/33981 | - |
| 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) | 91352010 | zh_TW |
| dc.description (描述) | 92 | zh_TW |
| dc.description.abstract (摘要) | 結構型商品，這種風險介於固定收益證券和股票之間的產品，甫上市以來，便廣受投資人的青睞，不僅提供保障本金的需求，更賦予參與股市上漲的獲利。且自從2004年之後，隨著目前景氣逐步回升，股票市場也預期會跟著上揚，於是連結股權的結構型商品也不斷地被推出，而其所隱含選擇權逐漸以連動多資產和具有新奇路徑相依條款為主，而使得在評價上，我們所面對的是高維度的問題，一般在處理高維度問題上，皆以傳統蒙地卡羅模擬法來因應。但因其緩慢的收斂速度，成為應用上的最大缺點，而且在處理高維度問題上所需耗費的模擬時間更為顯著。 本論文主要貢獻可分為兩點：第一，在應用準蒙地卡羅法來對多資產結構型商品評價，並採用Silva(2003)和Acworth, Broadie, and Glasserman(1998)的方法，來對準蒙地卡羅法作改善，並利用二檔市面上存在的結構型商品---高收益鎖定型連動債券和優選鎖定連動債券進行評價，結果發現改善後的準地卡羅法，其評價效率高於蒙地卡羅法和反向變異蒙地卡羅法。第二，本文還對高收益鎖定型連動債券提出delta避險策略，透過先計算選擇權對報酬率的delta，再轉換為所需持有股票的部位，最後發現所建立的避險組合能夠完全支應每年到期時所應付給投資人的債息，以及在避險時所需借款的部份，表示此一策略應為可行的避險策略，可供券商作避險上的參考。 | zh_TW |
| dc.description.tableofcontents | 第壹章 緒論................................................4 第一節 研究動機與目的...................................4第二章、文獻探討............................................6 第一節 多資產極小值選擇權公式解..........................6 第二節 蒙地卡羅模擬法....................................7 第三節 準蒙地卡羅模擬法..................................9第三章、研究方法...........................................11 第一節 Sobol Sequence的產生.............................11 第二節 建立多資產準蒙地卡羅模擬.........................17 第三節 改善效率的方法..................................19第四章 研究結果...........................................23 第一節 高收益鎖定型連動債券評價結果.....................23 第二節 優選鎖定連動債券評價結果........................27 第三節 delta避險策略....................................31第五章 結論...............................................39參考文獻...................................................41附錄.......................................................42 | 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/#G0091352010 | en_US |
| dc.subject (關鍵詞) | 結構型商品 | zh_TW |
| dc.subject (關鍵詞) | 多資產選擇權 | zh_TW |
| dc.subject (關鍵詞) | 準蒙地卡羅模擬法 | zh_TW |
| dc.subject (關鍵詞) | 主成份分析 | zh_TW |
| dc.subject (關鍵詞) | Structured Products | en_US |
| dc.subject (關鍵詞) | Multi-Asset Option | en_US |
| dc.subject (關鍵詞) | Quasi-Monte Carlo Simulation | en_US |
| dc.subject (關鍵詞) | Principal Component Analysis | en_US |
| dc.title (題名) | 多資產結構型商品之評價與避險--利用Quasi-Monte Carlo模擬法 | zh_TW |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | Acworth, P., M. Broadie and P. Glasserman 1998. A Comparison of some Monte Carlo and Quasi Monte Carlo Methods for Option Pricing, pp1-18 in Monte Carlo and Quasi-Monte Carlo Methods 1996 | zh_TW |
| dc.relation.reference (參考文獻) | Bhansali, V. 1998. Pricing and Managing Exotic and Hybrid Options, New York: McGraw-Hill. | zh_TW |
| dc.relation.reference (參考文獻) | Boyle P.P., M. Broadie and P. Glasserman 1997. Monte Carlo Methods for Security Pricing, Journal of Economic Dynamics and Control 21:1267-1321. | zh_TW |
| dc.relation.reference (參考文獻) | Broadie M. and P. Glasserman 1996 Estimating Security Price Derivatives Using Simulation, Management Science 42:269-285. | zh_TW |
| dc.relation.reference (參考文獻) | Dupire, B. 1998 . Monte Carlo : Methodologies and Applications for Pricing and Risk Management, London: Risk Books. | zh_TW |
| dc.relation.reference (參考文獻) | Galanti S. and A. Jung, 1997, Low-discrepancy Sequences: Monte Carlo Simulation of Option Prices. Journal of Derivatives. Fall 1997:63-83 | zh_TW |
| dc.relation.reference (參考文獻) | Glasserman, P. 2004. Monte Carlo Methods in Financial Engineering. New York: Springer. | zh_TW |
| dc.relation.reference (參考文獻) | Imai, J. and K.S. Tan, 2002. Enhanced Quasi-Monte Carlo Methods with Dimension Reduction. Proceedings of the 2002 Winter Simulation Conference. | zh_TW |
| dc.relation.reference (參考文獻) | Jäckel, P. 2002. Monte Carlo Methods in Finance. New York: John Wiley & Sons. | zh_TW |
| dc.relation.reference (參考文獻) | Paskov S.H. and J.F. Traub, 1995, Faster Valuation of Financial Derivatives. The Journal of Portfolio Management, 22(1):113-120. | zh_TW |
| dc.relation.reference (參考文獻) | Press, William H, 1992. Numerical Recipes in C : the Art of Scientific Computing. New York: Cambridge University Press. | zh_TW |
| dc.relation.reference (參考文獻) | Silva M. 2003, Quasi-Monte Carlo in Finance: Extending for High Dimensional Problem. Working paper. | zh_TW |
