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| Title | 股權連結結構型商品之評價 Valuation of Equity-Linkded Structured Note |
| Creator | 王瑞元 Wang, Jui Yuan |
| Contributor | 謝明華<br>林馨怡 Hseih, Ming Hua<br>Lin, Hsin Yi 王瑞元 Wang, Jui Yuan |
| Key Words | 結構債 蒙地卡羅模擬法 Quanto 模型 變異數縮減 Structured Note Monte Carlo Simulation Quanto Model Variance Reduction |
| Date | 2008 |
| Date Issued | 18-Sep-2009 16:01:57 (UTC+8) |
| Summary | 本文整理市場上已發行結構債的現金流量型式，且利用風險中立評價法推導多資產Quanto模型，並以蒙地卡羅模擬法模擬外幣計價的結構型商品的理論價格，除了計算使用Quanto模型所求得的理論價格外，本文也比較使用Quanto模型與沒有使用Quanto模型評價商品時理論價格的差異，此外也進行商品的利率敏感度分析和相關係數敏感度分析；其後找到有效的控制變數，利用變異數縮減技術克服蒙地卡羅模擬法收斂不易的缺點，增進模擬的效率與精準程度，最後並做變異數縮減的Rubust分析，討論在何種參數的設定下變異數縮減的效果會最好，及如何透過參數的選取，如參與率與保本率，設計商品與成本分析。 |
| 參考文獻 | Baxter, Martin, and Andrew Rennie, 1999. Financial calculus: An introduction to derivative pricing (Cambridge University Press). Black, F., and M. Scholes, 1973, The Pricing of Options and Corporate Liabilities, Journal of Political Economy 81, 637. Boyle, Phelim, Mark Broadie, and Paul Glasserman, 1997, Monte Carlo methods for security pricing, Journal of Economic Dynamics and Control 21, 1267-1321. Boyle, Phelim P., 1977, Options: A Monte Carlo approach, Journal of Financial Economics 4, 323-338. Datey, Jean-Yves, Genevieve Gauthier, and Jean-Guy Simonato, 2003, The Performance of Analytical Approximations for the Computation of Asian Quanto-Basket Option Prices, Multinational Finance Journal 7, 55-81. Hardy, M., 2003. Investment Guarantees: Modeling and Risk Management for Equity-Linked Life Insurance (Wiley). Hardy, M., 2004, Ratchet Equity Indexed Annuities, 14th Annual International AFIR Colloquium. Hardy, Mary, 2003. Investment Guarantees:Modeling and Risk Management for Equity-Linked Life Insurance (John Wiley &Sons, Inc.). Hsieh, M., and Y. Chiu, 2007, Monte Carlo methods for valuation of ratchet equity indexed annuities, Simulation Conference, 2007 Winter 998-1003. Johnson, Herb, 1987, Options on the Maximum or the Minimum of Several Assets, The Journal of Financial and Quantitative Analysis 22, 277-283. Kat, Harry M., 2001, Structured Equity Derivatives: The Definitive Guide to Exotic Options and Structured Notes(JOHN WILEY & SONS, LTD). Kjaer, Mats, 2006, Fast Pricing of Cliquet Options with Global Floor, Journal of Derivatives 14, 47-60. Kwok, Yue-Kuen, and Hoi-Ying Wong, 2000, Currency-Translated Foreign Equity Options with Path Dependent Features and Their Multi-Asset Extensions, International Journal of Theoretical & Applied Finance 3, 257. Poitras, Geoffrey, 1998, Spread options, exchange options, and arithmetic Brownian motion, Journal of Futures Markets 18, 487-517. Schoutens, Wim, and Stijn Symens, 2003, The Pricing of Exotic Options by Monte Carlo Simulations in A Levy Market With Stichastic Volatility, International Journal of Theoretical & Applied Finance 6, 839. Stulz, R. M., 1982, Options on the Minimum or the Maximum of Two Risky Assets: Analysis and Applications, Journal of Financial Economics 10, 161-185. |
| Description | 碩士 國立政治大學 經濟研究所 95258037 97 |
| 資料來源 | http://thesis.lib.nccu.edu.tw/record/#G0095258037 |
| Type | thesis |
| dc.contributor.advisor | 謝明華<br>林馨怡 | zh_TW |
| dc.contributor.advisor | Hseih, Ming Hua<br>Lin, Hsin Yi | en_US |
| dc.contributor.author (Authors) | 王瑞元 | zh_TW |
| dc.contributor.author (Authors) | Wang, Jui Yuan | en_US |
| dc.creator (作者) | 王瑞元 | zh_TW |
| dc.creator (作者) | Wang, Jui Yuan | en_US |
| dc.date (日期) | 2008 | en_US |
| dc.date.accessioned | 18-Sep-2009 16:01:57 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 16:01:57 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 16:01:57 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0095258037 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/35786 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 經濟研究所 | zh_TW |
| dc.description (描述) | 95258037 | zh_TW |
| dc.description (描述) | 97 | zh_TW |
| dc.description.abstract (摘要) | 本文整理市場上已發行結構債的現金流量型式，且利用風險中立評價法推導多資產Quanto模型，並以蒙地卡羅模擬法模擬外幣計價的結構型商品的理論價格，除了計算使用Quanto模型所求得的理論價格外，本文也比較使用Quanto模型與沒有使用Quanto模型評價商品時理論價格的差異，此外也進行商品的利率敏感度分析和相關係數敏感度分析；其後找到有效的控制變數，利用變異數縮減技術克服蒙地卡羅模擬法收斂不易的缺點，增進模擬的效率與精準程度，最後並做變異數縮減的Rubust分析，討論在何種參數的設定下變異數縮減的效果會最好，及如何透過參數的選取，如參與率與保本率，設計商品與成本分析。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論 6 第一節 研究背景 6 第二節 研究動機與目的 7 第三節 研究架構 8 第二章 文獻探討 10 第一節 股權連結現金流量 10 一、 符號定義 10 二、 現金流量形式整理 11 第二節 匯率連結選擇權 15 第三節 蒙地卡羅模擬法與選擇權的評價 17 第四節 變異數縮減技術 18 一、 Control Variate 18 二、 Antithetic 19 第三章 模型設定 21 第一節 符號定義 21 第二節 匯率連結模型 22 第四章 商品實例分析 26 第一節 商品契約介紹 26 第二節 模擬結果與敏感度分析 28 一、 Quanto模型與非Quanto模型的比較 28 二、 無險利率改變對商品價格的影響 30 三、 匯率相關性改變對商品價格的影響 30 第三節 變異數縮減 31 一、 使用Control Variate 31 二、 同時使用Antithetic與Control Variate 35 第四節 成本分析 37 第五章 結論 46 參考文獻 47 | 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/#G0095258037 | en_US |
| dc.subject (關鍵詞) | 結構債 | zh_TW |
| dc.subject (關鍵詞) | 蒙地卡羅模擬法 | zh_TW |
| dc.subject (關鍵詞) | Quanto 模型 | zh_TW |
| dc.subject (關鍵詞) | 變異數縮減 | zh_TW |
| dc.subject (關鍵詞) | Structured Note | en_US |
| dc.subject (關鍵詞) | Monte Carlo Simulation | en_US |
| dc.subject (關鍵詞) | Quanto Model | en_US |
| dc.subject (關鍵詞) | Variance Reduction | en_US |
| dc.title (題名) | 股權連結結構型商品之評價 | zh_TW |
| dc.title (題名) | Valuation of Equity-Linkded Structured Note | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | Baxter, Martin, and Andrew Rennie, 1999. Financial calculus: An introduction to derivative pricing (Cambridge University Press). | 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, 637. | zh_TW |
| dc.relation.reference (參考文獻) | Boyle, Phelim, Mark Broadie, and Paul 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) | Boyle, Phelim P., 1977, Options: A Monte Carlo approach, Journal of Financial Economics 4, 323-338. | zh_TW |
| dc.relation.reference (參考文獻) | Datey, Jean-Yves, Genevieve Gauthier, and Jean-Guy Simonato, 2003, The Performance of Analytical Approximations for the Computation of Asian Quanto-Basket Option Prices, Multinational Finance Journal 7, 55-81. | zh_TW |
| dc.relation.reference (參考文獻) | Hardy, M., 2003. Investment Guarantees: Modeling and Risk Management for Equity-Linked Life Insurance (Wiley). | zh_TW |
| dc.relation.reference (參考文獻) | Hardy, M., 2004, Ratchet Equity Indexed Annuities, 14th Annual International AFIR Colloquium. | zh_TW |
| dc.relation.reference (參考文獻) | Hardy, Mary, 2003. Investment Guarantees:Modeling and Risk Management for Equity-Linked Life Insurance (John Wiley &Sons, Inc.). | zh_TW |
| dc.relation.reference (參考文獻) | Hsieh, M., and Y. Chiu, 2007, Monte Carlo methods for valuation of ratchet equity indexed annuities, Simulation Conference, 2007 Winter 998-1003. | zh_TW |
| dc.relation.reference (參考文獻) | Johnson, Herb, 1987, Options on the Maximum or the Minimum of Several Assets, The Journal of Financial and Quantitative Analysis 22, 277-283. | zh_TW |
| dc.relation.reference (參考文獻) | Kat, Harry M., 2001, Structured Equity Derivatives: The Definitive Guide to Exotic Options and Structured Notes(JOHN WILEY & SONS, LTD). | zh_TW |
| dc.relation.reference (參考文獻) | Kjaer, Mats, 2006, Fast Pricing of Cliquet Options with Global Floor, Journal of Derivatives 14, 47-60. | zh_TW |
| dc.relation.reference (參考文獻) | Kwok, Yue-Kuen, and Hoi-Ying Wong, 2000, Currency-Translated Foreign Equity Options with Path Dependent Features and Their Multi-Asset Extensions, International Journal of Theoretical & Applied Finance 3, 257. | zh_TW |
| dc.relation.reference (參考文獻) | Poitras, Geoffrey, 1998, Spread options, exchange options, and arithmetic Brownian motion, Journal of Futures Markets 18, 487-517. | zh_TW |
| dc.relation.reference (參考文獻) | Schoutens, Wim, and Stijn Symens, 2003, The Pricing of Exotic Options by Monte Carlo Simulations in A Levy Market With Stichastic Volatility, International Journal of Theoretical & Applied Finance 6, 839. | zh_TW |
| dc.relation.reference (參考文獻) | Stulz, R. M., 1982, Options on the Minimum or the Maximum of Two Risky Assets: Analysis and Applications, Journal of Financial Economics 10, 161-185. | zh_TW |