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題名 履約價重設對匯率連動賣權之影響
The Impact of Resetting Strike Price on Prices and Risks of Quanto Options
作者 何立凱
Ho, Li-Kai
貢獻者 胡聯國
Hu, Len-Kuo
何立凱
Ho, Li-Kai
關鍵詞 匯率連動
多點重設型賣權
回顧型賣權
新奇選擇權
Quanto Option
Multiple-reset Option
Lookback Option
Exotic Option
日期 2007
上傳時間 8-Dec-2010 13:30:16 (UTC+8)
摘要 本論文主要結合了「匯率連動選擇權」與「多點重設型選擇權」、「履約價回顧型選擇權」，除了評價與分析四款匯率連動多點重設型賣權以及匯率連動履約價回顧型賣權，並且探討重設點之選擇對於賣權價格之影響，使其理論與模型更為一般化，發行券商或銀行欲發行此類商品時，更能夠依據模型做更進一步之風險控管，藉以降低避險損失。
For the most part, this article combines the quanto option with the multiple-reset put and lookback put. In addition to price and analyze the four specific types of quanto multiple-reset puts and quanto lookback puts, this article also provides a more comprehensive study on how the frequency of resetting in exercise price affects the quanto puts’ price and risk. When issuers issue this kind of financial product, based on the model in this article, they will be able to better control the risk further and secure the investment return by diminishing the loss of hedging.
參考文獻 [1] Chen, S. N. (2005). Financial Engineering(2nd)
[2] Jiang, I. M. (2004). "The Research of Two Kinds of Quanto Financial Instruments." Department of Money and Banking, NCCU
[3] Black, F. and M. Scholes (1973). "The Pricing of Options and Corporate Liabilities." The Journal of Political Economy
[4] Cheng, W.-Y. and S. Zhang (2000). "The analytics of reset options." Journal of Derivatives.
[5] Conze, A. and R. Viswanathan (1991). "Path Dependent Options: The Case of Lookback Options." The Journal of Finance
[6] Garman, M. (1989). "Recollection in Tranquillity." Risk March
[7] Gray, S. F. and R. E. Whaley (1997). "Valuing S&P 500 Bear Market Warrants with a Periodic Reset." Journal of Derivatives.
[8] Gray, S. F. and R. E. Whaley (1999). "Reset put options: Valuation, risk characteristics, and an application." Australian Journal of Management.
[9] Musiela, M. and M. Rutkowski (2004). Martingale Methods in Financial Modeling(2nd), Springer.
[10] Reiner, E. (1992). "Quanto Mechanics." Risk March
[11] Shreve, S. E. (2003). Stochastic Calculus for Finance II -- Continuous-Time Models, Springer.
描述 碩士
國立政治大學
國際經營與貿易研究所
94351016
96
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0094351016
資料類型 thesis
dc.contributor.advisor 胡聯國zh_TW
dc.contributor.advisor Hu, Len-Kuoen_US
dc.contributor.author (Authors) 何立凱zh_TW
dc.contributor.author (Authors) Ho, Li-Kaien_US
dc.creator (作者) 何立凱zh_TW
dc.creator (作者) Ho, Li-Kaien_US
dc.date (日期) 2007en_US
dc.date.accessioned 8-Dec-2010 13:30:16 (UTC+8)-
dc.date.available 8-Dec-2010 13:30:16 (UTC+8)-
dc.date.issued (上傳時間) 8-Dec-2010 13:30:16 (UTC+8)-
dc.identifier (Other Identifiers) G0094351016en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/49545-
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) 94351016zh_TW
dc.description (描述) 96zh_TW
dc.description.abstract (摘要) 本論文主要結合了「匯率連動選擇權」與「多點重設型選擇權」、「履約價回顧型選擇權」，除了評價與分析四款匯率連動多點重設型賣權以及匯率連動履約價回顧型賣權，並且探討重設點之選擇對於賣權價格之影響，使其理論與模型更為一般化，發行券商或銀行欲發行此類商品時，更能夠依據模型做更進一步之風險控管，藉以降低避險損失。zh_TW
dc.description.abstract (摘要) For the most part, this article combines the quanto option with the multiple-reset put and lookback put. In addition to price and analyze the four specific types of quanto multiple-reset puts and quanto lookback puts, this article also provides a more comprehensive study on how the frequency of resetting in exercise price affects the quanto puts’ price and risk. When issuers issue this kind of financial product, based on the model in this article, they will be able to better control the risk further and secure the investment return by diminishing the loss of hedging.en_US
dc.description.tableofcontents ABSTRACT I
TABLE OF CONTENT II
CHAPTER 1 INTRODUCTION 1
1.1 MOTIVATION AND OBJECTIVE 1
1.2 FRAMEWORK 2
CHAPTER 2 MODELS AND REFERENCES 3
2.1 BASIC ASSUMPTIONS AND MODELS 3
2.2 MARTINGALE PRICING 5
2.3 GIRSANOLV THEOREM 5
2.4 QUANTO OPTIONS 7
2.5 MULTIPLE-RESET OPTIONS 10
2.6 THE MAXIMUM DISTRIBUTION OF GEOMETRIC BROWNIAN MOTION 13
2.7 LOOKBACK OPTIONS 16
CHAPTER 3 QUANTO MULTIPLE-RESET OPTIONS 18
3.1 FRAMEWORK 18
3.2 PRICE AND RISK ANALYSIS OF TYPE I QUANTO MULTIPLE-RESET OPTION 18
3.2.1 Pricing Model 18
3.2.2 Risk Analysis 23
3.3 PRICE AND RISK ANALYSIS OF TYPE II QUANTO MULTIPLE-RESET OPTION 24
3.3.1 Pricing Model 24
3.3.2 Risk Analysis 29
3.4 PRICE AND RISK ANALYSIS OF TYPE III QUANTO MULTIPLE-RESET OPTION 30
3.4.1 Pricing Model 30
3.4.2 Risk Analysis 35
3.5 PRICE AND RISK ANALYSIS OF TYPE IV QUANTO MULTIPLE-RESET OPTION 36
3.5.1 Pricing Model 36
3.5.2 Risk Analysis 41
CHAPTER 4 QUANTO LOOKBACK OPTIONS 43
4.1 FRAMEWORK 43
4.2 PRICE AND RISK ANALYSIS OF TYPE I QUANTO LOOKBACK OPTION 43
4.2.1 Pricing Model 43
4.2.2 Risk Analysis 46
4.3 PRICE AND RISK ANALYSIS OF TYPE II QUANTO LOOKBACK OPTION 47
4.3.1 Pricing Model 48
4.3.2 Risk Analysis 50
4.4 PRICE AND RISK ANALYSIS OF TYPE III QUANTO LOOKBACK OPTION 52
4.4.1 Pricing Model 52
4.4.2 Risk Analysis 54
4.5 PRICE AND RISK ANALYSIS OF TYPE IV QUANTO LOOKBACK OPTION 56
4.5.1 Pricing Model 56
4.5.2 Risk Analysis 58
CHAPTER 5 CONCLUSIONS 60
APPENDIX A 62
APPENDIX B 73
APPENDIX C 74
APPENDIX D 75
APPENDIX E 85
APPENDIX F 89
APPENDIX G 90
APPENDIX H 91
REFERENCES 95		zh_TW
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dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0094351016en_US
dc.subject (關鍵詞) 匯率連動zh_TW
dc.subject (關鍵詞) 多點重設型賣權zh_TW
dc.subject (關鍵詞) 回顧型賣權zh_TW
dc.subject (關鍵詞) 新奇選擇權zh_TW
dc.subject (關鍵詞) Quanto Optionen_US
dc.subject (關鍵詞) Multiple-reset Optionen_US
dc.subject (關鍵詞) Lookback Optionen_US
dc.subject (關鍵詞) Exotic Optionen_US
dc.title (題名) 履約價重設對匯率連動賣權之影響zh_TW
dc.title (題名) The Impact of Resetting Strike Price on Prices and Risks of Quanto Optionsen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) [1] Chen, S. N. (2005). Financial Engineering(2nd)zh_TW
dc.relation.reference (參考文獻) [2] Jiang, I. M. (2004). "The Research of Two Kinds of Quanto Financial Instruments." Department of Money and Banking, NCCUzh_TW
dc.relation.reference (參考文獻) [3] Black, F. and M. Scholes (1973). "The Pricing of Options and Corporate Liabilities." The Journal of Political Economyzh_TW
dc.relation.reference (參考文獻) [4] Cheng, W.-Y. and S. Zhang (2000). "The analytics of reset options." Journal of Derivatives.zh_TW
dc.relation.reference (參考文獻) [5] Conze, A. and R. Viswanathan (1991). "Path Dependent Options: The Case of Lookback Options." The Journal of Financezh_TW
dc.relation.reference (參考文獻) [6] Garman, M. (1989). "Recollection in Tranquillity." Risk Marchzh_TW
dc.relation.reference (參考文獻) [7] Gray, S. F. and R. E. Whaley (1997). "Valuing S&P 500 Bear Market Warrants with a Periodic Reset." Journal of Derivatives.zh_TW
dc.relation.reference (參考文獻) [8] Gray, S. F. and R. E. Whaley (1999). "Reset put options: Valuation, risk characteristics, and an application." Australian Journal of Management.zh_TW
dc.relation.reference (參考文獻) [9] Musiela, M. and M. Rutkowski (2004). Martingale Methods in Financial Modeling(2nd), Springer.zh_TW
dc.relation.reference (參考文獻) [10] Reiner, E. (1992). "Quanto Mechanics." Risk Marchzh_TW
dc.relation.reference (參考文獻) [11] Shreve, S. E. (2003). Stochastic Calculus for Finance II -- Continuous-Time Models, Springer.zh_TW