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題名 選擇權靜態避險複製之研究
作者 吳艷琴
貢獻者 徐燕山<br>陳松男
吳艷琴
關鍵詞 靜態複製
靜態避險
新奇選擇權
界限選擇權
選擇權避險
static replication
static hedging
exotic option
barrier option
日期 1998
上傳時間 21-Apr-2016 17:05:56 (UTC+8)
摘要 衍生自Black-Scholes選擇權評價公式之動態避險策略，礙於現實世界當中連續避險之不可行，兼之以交易成本之考量，使其在實務運用上困難重重。尤其是在股價波動劇烈之際，動態避險根本無法順利進行。本論文所探討之選擇權靜態複製方式，便是希望克服動態避險連續交易及交易成本之困難。任一選擇權之靜態複製組合乃由同標的之其它選擇權所構成。其於建構完成之後，不需再有其它後續之調整動作，便可複製標的資產於未來一段時間，以及標的資產在某些價位之下的價值，因之稱為&quot;靜態&quot;複製組合
參考文獻 胡世芳、史綱，認股權證投資與發行策略，樂觀文化事業有限公司出版，86年11月初版。
陳松男，選擇權與期貨：衍生性商品理論與實務，三民書局經銷，85年5月初版。
陳松男，"在間斷性避險及交易成本下的選擇權評價模型：以實務觀點修正理論"。
楊國輝，台灣香港認購（股）權證發行對股價波動性之影響，國立政治大學金融所碩士論文，87年5月。
劉明滄，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學系碩士論文，87年5月。
Basseer, Potkin A.,"Static Hedging with Listed Index Options：An Empirical Investigation", Personal Financial Planning, May / June 1994, p29-34.
Benninga, Simon, Financial Modeling, Cambridge, Mass：MIT Press, 1997.
Black, Fisher, and Myron Scholes,"The Pricing of Options and Corporate Liability", Journal of Political Economics, May 1973, p.637-654.
Bowie, Jonathon, and Peter Carr,"Static Simplicity", Risk 7, p.45-49.
Boyle, Phelim P.,"Options：A Monte Carlo Approach", Journal of Financial Economics 4,1997, p.323-338.
Carr, Peter, Katrina Ellis, and Vishal Gupta,"Static hedging of Exotic Options", The Journal of Finance, Vol LIII, No. 3, June 1998, p.1165-1190.
Choie , Kenneth S. and Frederick Novomestky,"Replication of Long -Term with Short-Term Options", The Journal of Portfolio Management, 1989, p.17-19.
Chriss, Neil A., Black-Scholes and Beyond：Option Pricing Models, Irwin Professional Publishing, 1997.
Cox, John C., Stephen A. Ross and Mark Rubinstein,"Option Pricing：A Simplified Approach", Journal of Financial Economics 7, 1979 , p.229-263.
Derman, Emanuel, Deniz Ergener and Iraj Kani,"Forever Hedged", Risk 7, 1994, p.139-145.
Derman, Emanuel, Deniz Ergener and Iraj Kani,"Static Options Replication", The Journal of Derivatives, 1995, p.78-95.
Derman, Emanuel and Iraj Kani,"The Ins and Outs of Barrier Options：Part 1", Derivatives Quarterly, Winter 1996, p.55-67.
Derman, Emanuel and Iraj Kani, "The Ins and Outs of Barrier Options：Part 2", Derivatives Quarterly, Spring 1997, p.73-80.
Hull, John C., Options, Futures, and Other derivative Securities, Prentice-Hall International Editions.
Jacobs, Bruce I., "Option Replication and the Market`s Fragility", Pensions & Investment, 1998, v26n12, Jun 15, p.12.
Jarrow, Robert, Over the Rainbow, Risk Publications, 1995.
Jones, E. Philip, "Option Arbitrage and Strategy with Large Price Changes", Journal of Financial Economics 13, 1984, p.91-113.
Kenneth Leong ,"Solving the Mystery", From Black-Scholes to Black Holes：New Frontiers in Options, Ch 11, Risk Magazine Ltd, 1992.
Levy, Edmond and Stuart Turnbull ,"Average Intelligence", From Black-Scholes to Black Holes：New Frontiers in Options, Ch 23, Risk Magazine Ltd, 1992.
Watsham Terry J. and Keith Parramore, Quantitative Methods in Finance, International Thomson Business Press, 1997.
Zhang, Peter G., 1997, Exotic Option：A Guide to Second Generation Options, World Scientific Publishing Co. Pte. Ltd.
描述 碩士
國立政治大學
財務管理研究所
86357003
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002001495
資料類型 thesis
dc.contributor.advisor 徐燕山<br>陳松男zh_TW
dc.contributor.author (Authors) 吳艷琴zh_TW
dc.creator (作者) 吳艷琴zh_TW
dc.date (日期) 1998en_US
dc.date.accessioned 21-Apr-2016 17:05:56 (UTC+8)-
dc.date.available 21-Apr-2016 17:05:56 (UTC+8)-
dc.date.issued (上傳時間) 21-Apr-2016 17:05:56 (UTC+8)-
dc.identifier (Other Identifiers) B2002001495en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85925-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 86357003zh_TW
dc.description.abstract (摘要) 衍生自Black-Scholes選擇權評價公式之動態避險策略，礙於現實世界當中連續避險之不可行，兼之以交易成本之考量，使其在實務運用上困難重重。尤其是在股價波動劇烈之際，動態避險根本無法順利進行。本論文所探討之選擇權靜態複製方式，便是希望克服動態避險連續交易及交易成本之困難。任一選擇權之靜態複製組合乃由同標的之其它選擇權所構成。其於建構完成之後，不需再有其它後續之調整動作，便可複製標的資產於未來一段時間，以及標的資產在某些價位之下的價值，因之稱為&quot;靜態&quot;複製組合zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002001495en_US
dc.subject (關鍵詞) 靜態複製zh_TW
dc.subject (關鍵詞) 靜態避險zh_TW
dc.subject (關鍵詞) 新奇選擇權zh_TW
dc.subject (關鍵詞) 界限選擇權zh_TW
dc.subject (關鍵詞) 選擇權避險zh_TW
dc.subject (關鍵詞) static replicationen_US
dc.subject (關鍵詞) static hedgingen_US
dc.subject (關鍵詞) exotic optionen_US
dc.subject (關鍵詞) barrier optionen_US
dc.title (題名) 選擇權靜態避險複製之研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 胡世芳、史綱，認股權證投資與發行策略，樂觀文化事業有限公司出版，86年11月初版。
陳松男，選擇權與期貨：衍生性商品理論與實務，三民書局經銷，85年5月初版。
陳松男，"在間斷性避險及交易成本下的選擇權評價模型：以實務觀點修正理論"。
楊國輝，台灣香港認購（股）權證發行對股價波動性之影響，國立政治大學金融所碩士論文，87年5月。
劉明滄，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學系碩士論文，87年5月。
Basseer, Potkin A.,"Static Hedging with Listed Index Options：An Empirical Investigation", Personal Financial Planning, May / June 1994, p29-34.
Benninga, Simon, Financial Modeling, Cambridge, Mass：MIT Press, 1997.
Black, Fisher, and Myron Scholes,"The Pricing of Options and Corporate Liability", Journal of Political Economics, May 1973, p.637-654.
Bowie, Jonathon, and Peter Carr,"Static Simplicity", Risk 7, p.45-49.
Boyle, Phelim P.,"Options：A Monte Carlo Approach", Journal of Financial Economics 4,1997, p.323-338.
Carr, Peter, Katrina Ellis, and Vishal Gupta,"Static hedging of Exotic Options", The Journal of Finance, Vol LIII, No. 3, June 1998, p.1165-1190.
Choie , Kenneth S. and Frederick Novomestky,"Replication of Long -Term with Short-Term Options", The Journal of Portfolio Management, 1989, p.17-19.
Chriss, Neil A., Black-Scholes and Beyond：Option Pricing Models, Irwin Professional Publishing, 1997.
Cox, John C., Stephen A. Ross and Mark Rubinstein,"Option Pricing：A Simplified Approach", Journal of Financial Economics 7, 1979 , p.229-263.
Derman, Emanuel, Deniz Ergener and Iraj Kani,"Forever Hedged", Risk 7, 1994, p.139-145.
Derman, Emanuel, Deniz Ergener and Iraj Kani,"Static Options Replication", The Journal of Derivatives, 1995, p.78-95.
Derman, Emanuel and Iraj Kani,"The Ins and Outs of Barrier Options：Part 1", Derivatives Quarterly, Winter 1996, p.55-67.
Derman, Emanuel and Iraj Kani, "The Ins and Outs of Barrier Options：Part 2", Derivatives Quarterly, Spring 1997, p.73-80.
Hull, John C., Options, Futures, and Other derivative Securities, Prentice-Hall International Editions.
Jacobs, Bruce I., "Option Replication and the Market`s Fragility", Pensions & Investment, 1998, v26n12, Jun 15, p.12.
Jarrow, Robert, Over the Rainbow, Risk Publications, 1995.
Jones, E. Philip, "Option Arbitrage and Strategy with Large Price Changes", Journal of Financial Economics 13, 1984, p.91-113.
Kenneth Leong ,"Solving the Mystery", From Black-Scholes to Black Holes：New Frontiers in Options, Ch 11, Risk Magazine Ltd, 1992.
Levy, Edmond and Stuart Turnbull ,"Average Intelligence", From Black-Scholes to Black Holes：New Frontiers in Options, Ch 23, Risk Magazine Ltd, 1992.
Watsham Terry J. and Keith Parramore, Quantitative Methods in Finance, International Thomson Business Press, 1997.
Zhang, Peter G., 1997, Exotic Option：A Guide to Second Generation Options, World Scientific Publishing Co. Pte. Ltd.		zh_TW