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題名 界限選擇權訂價與避險之研究--二項評價模型之修正與靜態避險之應用
The pricing and hedging of barrier options--the modification of CRR model and the application of static hedge
作者 何銘銓
Ho, Ming-chuan
貢獻者 胡聯國
Len-kuo Hu
何銘銓
Ming-chuan Ho
關鍵詞 界限選擇權
二項評價模型
靜態避險法
靜態複製
新奇選擇權
蒙地卡羅模擬
barrier option
CRR model
static hedging
static replication
exotic option
monte carlo simulation
日期 1998
上傳時間 20-Apr-2016 17:15:36 (UTC+8)
摘要 界限選擇權雖屬新奇選擇權的一種，但在國外卻已是交易頻繁的商品，而在國內則尚未有此一商品的交易發生。因此，為了能讓國內投資人與券商更了解此一商品，本研究便以界限選擇權為對象，針對其訂價與避險兩大主題進行研究，期能獲至有貢獻之結論。
Barrier option is one of those exotic options, yet it has been frequently traded in the foreign options markets. In Taiwan, this commodity is still new to most of us. Consequently, for a better understand and probably the issuance of this commodity, this research focuses on the pricing and hedging of barrier options, hoping that the research can obtain contributive conclusions.
參考文獻 1. 劉明滄(1998), "靜態避險:以障礙選擇權和向後看選擇權為例", 國立中央大學財務管理研究所碩士論文。
     2. Black, F. and Scholes, M.(1973), "The Pricing of Options and Corporate Liabilities", Journal of Political Economics, Vol.81.No.3, 637-659.
     3. Cox, J. C., Ross, S. A. and Rubinstein, M.(1979), "Option Pricing: A simplified Approach", Journal of Financial Economics, Vol.7.No.3, 229-263.
     4. Boyle, P. and S.H. Lau.(1994), "Bumping Up Against the Barrier with the Binomial Method.", Journal of Derivatives, Summer, 6-14.
     5. Ritchken, P.(1995), "On Pricing Barrier Options.", Journal of Derivatives, Winter, 19-28.
     6. Rubinstein, M. and Reiner, E.(1991), "Breaking Down the Barriers", RISK, Vol.4.No.8, 28-35.
     7. Combalot, L.(1995), "Getting to Know Barrier Options", AsiaMoney, September., 33-39.
     8. Derman, E., Kani, I., Ergener, D. and Bardhan, I.(1995), "Enhanced Numerical Methods for Options with Barriers", Financial Analysts Journal, Vol.51No.6, 65-74.
     9. Derman, E. and Kani, I.(1996), "The Ins and Outs of Barrier Options: Part 1", Derivatives Quarterly, Vol.3.No.2, 55-67.
     10. (1997), "The Ins and Outs of Barrier Options: Part 2", Derivatives Quarterly, Vol.3.No.3, 73-80.
     11. Smith, C.(1995), "Exotic Options: Made to Measure", Corporate Finance, September., 16-25
     12. Bowie, J. and Carr, P.(1994), "Static Simplicity", RISK 7, 45-49.
     13. Derman, E., Ergener, D. and Kani, I.(1995), "Static Options Replication", Journal of Derivatives, Summer, 78-95.
     14. Carr, P., Ellis, K. and Gupta, V.(1998), "Static Hedging of Exotic Options", Journal of Finance, Vol.53.No.3, 1165-1190.
     15. Chriss, N. A., Black-Scholes and Beyond, IRWIN, 1997.
     16. Hull, J.C., Options, Futures, and Other Derivative Securities., 3rd ed. Englewood Cliffs, NJ:prentice-Hall, 1997.
描述 碩士
國立政治大學
國際經營與貿易學系
86351013
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002001510
資料類型 thesis
dc.contributor.advisor 胡聯國zh_TW
dc.contributor.advisor Len-kuo Huen_US
dc.contributor.author (Authors) 何銘銓zh_TW
dc.contributor.author (Authors) Ming-chuan Hoen_US
dc.creator (作者) 何銘銓zh_TW
dc.creator (作者) Ho, Ming-chuanen_US
dc.date (日期) 1998en_US
dc.date.accessioned 20-Apr-2016 17:15:36 (UTC+8)-
dc.date.available 20-Apr-2016 17:15:36 (UTC+8)-
dc.date.issued (上傳時間) 20-Apr-2016 17:15:36 (UTC+8)-
dc.identifier (Other Identifiers) B2002001510en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85826-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 86351013zh_TW
dc.description.abstract (摘要) 界限選擇權雖屬新奇選擇權的一種，但在國外卻已是交易頻繁的商品，而在國內則尚未有此一商品的交易發生。因此，為了能讓國內投資人與券商更了解此一商品，本研究便以界限選擇權為對象，針對其訂價與避險兩大主題進行研究，期能獲至有貢獻之結論。zh_TW
dc.description.abstract (摘要) Barrier option is one of those exotic options, yet it has been frequently traded in the foreign options markets. In Taiwan, this commodity is still new to most of us. Consequently, for a better understand and probably the issuance of this commodity, this research focuses on the pricing and hedging of barrier options, hoping that the research can obtain contributive conclusions.en_US
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002001510en_US
dc.subject (關鍵詞) 界限選擇權zh_TW
dc.subject (關鍵詞) 二項評價模型zh_TW
dc.subject (關鍵詞) 靜態避險法zh_TW
dc.subject (關鍵詞) 靜態複製zh_TW
dc.subject (關鍵詞) 新奇選擇權zh_TW
dc.subject (關鍵詞) 蒙地卡羅模擬zh_TW
dc.subject (關鍵詞) barrier optionen_US
dc.subject (關鍵詞) CRR modelen_US
dc.subject (關鍵詞) static hedgingen_US
dc.subject (關鍵詞) static replicationen_US
dc.subject (關鍵詞) exotic optionen_US
dc.subject (關鍵詞) monte carlo simulationen_US
dc.title (題名) 界限選擇權訂價與避險之研究--二項評價模型之修正與靜態避險之應用zh_TW
dc.title (題名) The pricing and hedging of barrier options--the modification of CRR model and the application of static hedgeen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 1. 劉明滄(1998), "靜態避險:以障礙選擇權和向後看選擇權為例", 國立中央大學財務管理研究所碩士論文。
     2. Black, F. and Scholes, M.(1973), "The Pricing of Options and Corporate Liabilities", Journal of Political Economics, Vol.81.No.3, 637-659.
     3. Cox, J. C., Ross, S. A. and Rubinstein, M.(1979), "Option Pricing: A simplified Approach", Journal of Financial Economics, Vol.7.No.3, 229-263.
     4. Boyle, P. and S.H. Lau.(1994), "Bumping Up Against the Barrier with the Binomial Method.", Journal of Derivatives, Summer, 6-14.
     5. Ritchken, P.(1995), "On Pricing Barrier Options.", Journal of Derivatives, Winter, 19-28.
     6. Rubinstein, M. and Reiner, E.(1991), "Breaking Down the Barriers", RISK, Vol.4.No.8, 28-35.
     7. Combalot, L.(1995), "Getting to Know Barrier Options", AsiaMoney, September., 33-39.
     8. Derman, E., Kani, I., Ergener, D. and Bardhan, I.(1995), "Enhanced Numerical Methods for Options with Barriers", Financial Analysts Journal, Vol.51No.6, 65-74.
     9. Derman, E. and Kani, I.(1996), "The Ins and Outs of Barrier Options: Part 1", Derivatives Quarterly, Vol.3.No.2, 55-67.
     10. (1997), "The Ins and Outs of Barrier Options: Part 2", Derivatives Quarterly, Vol.3.No.3, 73-80.
     11. Smith, C.(1995), "Exotic Options: Made to Measure", Corporate Finance, September., 16-25
     12. Bowie, J. and Carr, P.(1994), "Static Simplicity", RISK 7, 45-49.
     13. Derman, E., Ergener, D. and Kani, I.(1995), "Static Options Replication", Journal of Derivatives, Summer, 78-95.
     14. Carr, P., Ellis, K. and Gupta, V.(1998), "Static Hedging of Exotic Options", Journal of Finance, Vol.53.No.3, 1165-1190.
     15. Chriss, N. A., Black-Scholes and Beyond, IRWIN, 1997.
     16. Hull, J.C., Options, Futures, and Other Derivative Securities., 3rd ed. Englewood Cliffs, NJ:prentice-Hall, 1997.		zh_TW