| dc.contributor.advisor | 胡聯國<br>廖四郎 | zh_TW |
| dc.contributor.advisor | Hu, Lien-Kuo<br>Liao, Szu-Lang | en_US |
| dc.contributor.author (Authors) | 王祥安 | zh_TW |
| dc.contributor.author (Authors) | Wang , Hsiang-An | en_US |
| dc.creator (作者) | 王祥安 | zh_TW |
| dc.creator (作者) | Wang , Hsiang-An | en_US |
| dc.date (日期) | 2003 | en_US |
| dc.date.accessioned | 18-Sep-2009 14:08:14 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 14:08:14 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 14:08:14 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0091351020 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/35090 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易研究所 | zh_TW |
| dc.description (描述) | 91351020 | zh_TW |
| dc.description (描述) | 92 | zh_TW |
| dc.description.abstract (摘要) | 在WTO成立，各國國際化程度日益提高的同時，企業與個人進行跨國投資的情形也愈來愈普遍，跨國投資除了要考慮標的資產之報酬與波動性之外，尚須考量匯率變動所產生之風險與不確定性。當某一國外資產具有正向預期報酬率的同時，實現後的報酬率卻又不一定為正，正是因為匯率波動所產生的影響。又，傳統財務理論告訴我們，藉由增加投資組合中所有非完全正相關的資產個數可以有效的降低投資組合的非系統風險，因此投資人在進行投資時往往採用建構投資組合的方式取代持有少數資產的型態。然而，在建構跨通貨避險投資組合時，若是對於投資組合中的各項資產與外幣分別進行避險（分別利用衍生性商品避險），往往是費時、費力又不具有效率。因此，對於整個投資組合進行避險反而是一個比較好的方法，當投資組合價值發生變動時，可以即時對於各項資產部位與外幣分別做調整，遠較於對個別資產進行避險來的方便、快速且有效。 | zh_TW |
| dc.description.abstract (摘要) | In most cases, investment is made of building a portfolio rather than single asset. Therefore, it is necessary to develop techniques of valuing portfolio derivatives. Moreover, we consider a cross-currency portfolio that account for currency and interest rate risk. As interest rate is stochastic, we use Heath-Jarrow Morton (HJM) Approach to describe its dynamics. Applying Vorst (1992); Geman, Karoui and Rochet(1995), we derive the approximated close-form of the cross-currency portfolio option.In HJM Approach, it is difficult to acquire hedge ratios of options. We apply another method to build a hedging portfolio. Then, we perform numerical simulations to test its hedging efficiency and sensitivity with respect to different variables. | en_US |
| dc.description.tableofcontents | Abstract1. Introduction2. Review of Interest Rate Models2.1 Models for Short-Term Interest Rates2.2 Models for Forward Rates3. The Security Economy3.1 Dynamics of the Security Economy3.2 Arbitrage-Free Condition3.3 Forward Measure Approach4. Valuation of Portfolio Options5. Hedging Strategy6. Numerical Simulation6.1 Portfolio Hedging Analysis6.2 Call Price Simulations7. ConclusionReferenceAppendix | 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/#G0091351020 | en_US |
| dc.subject (關鍵詞) | 投資組合選擇權 | zh_TW |
| dc.subject (關鍵詞) | 平賭測度 | zh_TW |
| dc.subject (關鍵詞) | 遠期平賭 | zh_TW |
| dc.subject (關鍵詞) | 利率模型 | zh_TW |
| dc.subject (關鍵詞) | 隨機利率 | zh_TW |
| dc.subject (關鍵詞) | Portfolio Option | en_US |
| dc.subject (關鍵詞) | Martingale | en_US |
| dc.subject (關鍵詞) | Forward Measure Approach | en_US |
| dc.subject (關鍵詞) | Interest Rate Models | en_US |
| dc.subject (關鍵詞) | Stochastic Interest Rates | en_US |
| dc.subject (關鍵詞) | HJM | en_US |
| dc.subject (關鍵詞) | Cross Currency | en_US |
| dc.title (題名) | 隨機利率下，跨通貨投資組合選擇權之定價與避險策略 | zh_TW |
| dc.title (題名) | Pricing and Hedging Cross-Currency Portfolio Option with Stochastic Interest Rates | en_US |
| dc.type (資料類型) | thesis | en |
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