| dc.contributor | 國立政治大學金融系 | en |
| dc.creator (作者) | 陳松男 | zh_TW |
| dc.date (日期) | 2005 | - |
| dc.date.accessioned | 11-十月-2013 17:31:23 (UTC+8) | - |
| dc.date.available | 11-十月-2013 17:31:23 (UTC+8) | - |
| dc.date.issued (上傳時間) | 11-十月-2013 17:31:23 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/61331 | - |
| dc.description.abstract (摘要) | 針對外國投資人來設計的新金融商品時，首先我們必須考量匯率風險，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，Conze and Viswanathan（1991）提出了回顧型選擇權（Lookback Options），它提供投資人許多 的好處，例如：回顧型買權提供投資人可以最低價格買進標的股；回顧型賣權提供 投資人可以最高價格賣出標的股。因此，投資人總是可在回顧型選擇權的到期日， 以有效期內最低的標的價格買進或最高價格賣出。 結合上述兩種目的而設計的金融創新商品－匯率連動回顧型選擇權，可提供投 資人同時對外國股價風險及匯率風險進行避險。不但投資人受益，發行券商或銀行 不僅可獲得權利金的收入，也因評價模型的簡單化，類似Black-Scholes 模型以及大 部分的時間可以操作的簡易性避險，獲得風險控管，因此可降低避險損失，提昇利 潤。 | - |
| dc.description.abstract (摘要) | When investing overseas markets investors are concerned with not only foreign stock risk, but also foreign exchange risk. Reiner(1992) proposed quanto options to hedge exchange rate risk. Conze and Viswanathan(1991) derived the pricing model of lookback options. The lookback put option provides investors the protection against falling prices. The holders can always sell the underlying stock at the highest price while the lookback call option gives the holders the right to at lowest price. With the lookback options, investors can sell at the highest price or buy at the lowest price during the tenor of the option. This paper attempts to combine the above two important features into a single option a quanto lookback option. It provides the investors hedge against not only foreign exchange rate, but also falling prices or rising prices. A closed-form pricing model and the related hedging parameters are derived. The economic implications of the model is also examined. The results of this paper should be useful to financial institutions which try to trade and to hedge this type of options. | - |
| dc.language | zh_TW | en |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | 執行期間：9308-9407 | en |
| dc.subject (關鍵詞) | 新奇選擇權;匯率連動選擇權;回顧型選擇權 | en |
| dc.subject (關鍵詞) | Exotic Option;Quanto Options;Lookback Options | en |
| dc.title (題名) | 匯率連動回顧型選擇權 | zh_TW |
| dc.title.alternative (其他題名) | Quanto Lookback Options | - |
| dc.type (資料類型) | report | en |
