| dc.creator (作者) | 陳松男;姜一銘 | zh_TW |
| dc.creator (作者) | Chen, Son-Nan; Jiang, I-Ming | - |
| dc.date (日期) | 2004 | en_US |
| dc.date.accessioned | 14-Nov-2008 12:26:25 (UTC+8) | - |
| dc.date.available | 14-Nov-2008 12:26:25 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Nov-2008 12:26:25 (UTC+8) | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/7460 | - |
| dc.description.abstract (摘要) | 本文考慮針對投資人規避匯率風險與防止股票市場的可能受到人為操縱下，提出幾種匯率連動之遠期生效亞洲選擇權（Quanto Forward-Start Asian Options），同時雖然一般亞洲選擇權無封閉解，本文嘗試提出一階及二階泰勒近似封閉解，並計算避險參數。最後，計算出評價理論公式的最大估計誤差上限，並簡單舉例，發現在波動度較小時，一階及二階泰勒近似封閉解相差不大，可以考慮使用公式簡單的一階泰勒近似封閉解；反之，在波動度較大時，考慮二階泰勒近似封閉解的可靠度相當高。 In this paper, we propose several Quanto Forward-Start Asian options for investors who wish to hedge both currency risk and the risk of being possibly manipulated by some market participants. Although Asian options have no closed-form solutions, we try to find the “approximate” closed-from solution and compute hedge parameters for them. In addition, we also determine the upper bound of maximum estimation error of our pricing model. The numerical results show that the difference between the first-order and the second-order Taylor`s expansion of approximate closed-form solution is not significant when the volatility is small. Under this circumstance, we can simply use first-order Taylor`s expansion of approximate closed-form solution. However, second-order Taylor`s expansion of approximate closed-form solution is employed when the volatility is large. | - |
| dc.format | application/ | en_US |
| dc.format.extent | 118 bytes | - |
| dc.format.mimetype | application/octet-stream | - |
| dc.language | zh-TW | en_US |
| dc.language | en-US | en_US |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | 經濟論文, 32(1), 149-199 | en_US |
| dc.relation (關聯) | Academia Economic Papers, 32(1), 149-199 | - |
| dc.title (題名) | 匯率連動遠期生效亞洲選擇權 | zh_TW |
| dc.title.alternative (其他題名) | Quanto Forward-Start Asian Options | - |
| dc.type (資料類型) | article | en |
