| dc.creator (作者) | 廖四郎;呂桔誠;王昭文 | zh_TW |
| dc.date (日期) | 2003-03 | en_US |
| dc.date.accessioned | 14-Nov-2008 12:55:13 (UTC+8) | - |
| dc.date.available | 14-Nov-2008 12:55:13 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Nov-2008 12:55:13 (UTC+8) | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/7580 | - |
| dc.description.abstract (摘要) | 本文推導出在隨機利率經濟體系下，無套利條件之組合型選擇權的近似封閉解。而後我們將組合型選擇權之觀點運用於投資組合保險及風險控管上。在法令限制，或者是在資本市場上無法找到符合投資組合需求之契約的情形下，我們提供了一個利用複製組合型賣權來保障投資組合的方法，同時此投資組合亦能滿足投資人最低報酬率的要求。 | - |
| dc.description.abstract (摘要) | This paper presents a no-arbitrage model of closed-form approximation for valuing basket options under a stochastic interest rate economy. Then, we expand this basket-option concept into portfolio insurance and risk management. Under legal constraints or unavailable to find a customized contract in the capital market, we suggest a method of synthetic basket put to insure the investment portfolio which is claimed to match the minimum required rate of return by the investors. | - |
| dc.format | application/ | en_US |
| dc.language | zh-TW | en_US |
| dc.language | en-US | en_US |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | 亞太經濟管理評論, 6(2), 1-20 | en_US |
| dc.subject (關鍵詞) | 組合型選擇權 ; 投資組合保險 ; 避險策略 ; 隨機利率; Basket Options ; Portfolio Insurance ; Hedging Strategies ; Stochastic Interest Rates | - |
| dc.title (題名) | 組合型選擇權之評價及其在投資組合避險策略上之應用 | zh_TW |
| dc.title.alternative (其他題名) | Pricing Basket Option and It`s Application to Hedging Strategies of Investment Portfolio | - |
| dc.type (資料類型) | article | en |
