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題名 認購權證最適避險策略之研究
作者 吳秉寰
Wu, Alex Bing-Huan
貢獻者 陳威光
Chen, Wei-Kuang
吳秉寰
Wu, Alex Bing-Huan
關鍵詞 認購權證
選擇權
避險策略
避險比率
最適化
Warrant
Option
Hedging Strategy
Hedge Ratio
Optimal
日期 1998
上傳時間 22-Apr-2016 10:20:26 (UTC+8)
摘要 本篇論文採用了固定時段避險法，固定避險帶避險法，不足量避險法，Leland（1985）避險法以及Whalley & Wilmott（1993）效用極大避險法，用Monte-Carlo模擬，探討了當券商發行權證時，所面臨的避險組合調整問題。結果發現，在所有的避險策略當中，以Whalley & Wilmott（1993）效用極大避險法的避險績效最好。但是其他的方法，都一致支持保守的避險策略，即多調整避險組合，可以有效提高避險的績效。但是若我們改變交易成本，就會發現隨著交易成本的增加，調整避險組合的次數就要減少，否則過高的交易成本就會抵銷掉避險時的報酬。若我們改變股價的波動度設定，就會發現隨著波動度的增加，調整避險組合的次數也要增加，以免產生過高的避險誤差。此外，在存在漲跌幅限制的假設之下，避險績效都較無漲跌幅限制為佳，因為漲跌幅限制的存在，使得股價波動受到壓縮之故。而在實證資料方面，由於單一條股價不具代表性，因此無法作為有效的解釋。
參考文獻 中文部分
     吳壽山、周賓凰，1996，衡量漲跌幅限制對股票報酬與風險的影響，
      證券市場發展季刊，8：1，pp.1-31
     沈中華、周賓凰，1996，漲跌幅限制下股價的星期效應---Gibbs Sampler
      的應用，經濟論文，25：1，pp.21-44
     陳威光，1997，「認股權之評價」，元大期貨，pp.40-46
     陳松男，1998，「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」，政治大學1998財務工程暨衍生性金融商品
      理論與實務研討會。
     陳松男，1998，「一籃指權證的正確評價及避險方法」，政治大學1998
      財務工程暨衍生性金融商品理論與實務研討會。
     陳威光，1998，「認購權證價格之探討」，元大期貨，pp.57-64
     劉岳玲，1998，「認購權證發行券商避險策略之研究」，中
      山大學未出版論文。
     蔡立光，1998，「台灣市場認購權證定價模型與避險策略之研究」，
      中央大學未出版論文。
     英文部分
     Black, F., and M. Scholes, 1976 "The pricing of options and corporate liabilities",
      Journal of Political Economics 81, pp.637-654
     Boyle, P. P., and D. Emanuel, 1980 "Discretely adjusted option hedge", Journal of
      Financial Economics 8, pp.259-282.
     Boyle, P. P., and T. Vorst, 1992 "Option replication in discrete time with transaction
      costs", Journal of Finance 57, pp.271-293.
     Chen, W. K., 1999 "The valuation and hedging of reset options", 中國財務學會年會
      發表, Apr.
     Chen, W. K., and C. H. Shen, 1999 "the valuation of option when the underlying asset
      prices under price limits", The 7th Conference on Pacific Basin Finance, Economics
      and Accounting , May.
     Davis, M. H.,V. G. Panas, and T. Zariphopoulou, 1993 "European option pricing with
      transaction costs", Journal of Control and Optimization 31, pp.470-493
     Etzioni, S. E., 1986 "Rebalance disciplines for portfolio insurance", Journal of
      Portfolio Management, fall, pp.59-62.
     Garman, M. B., and M. J. Klass, 1980 "On the estimation of security price volatilities
      from historical data", Journal of Businesss, 53.1, pp.67-78.
     Grannan, E. R., and G. H. Swindle, 1996 "Minimizing transaction cost of option
      hedging strategies", Mathematical Finance 6, pp.341-364.
     Hodge, S. D. and A. Neuberger, 1989 "Optimal replication of contingent claims under
      transaction costs", Review of Future Markets 8, pp.222-239
     Hoggard, T., A.E. Whalley, and P. Wilmott, 1994 "Hedging option portfolios in the
      presence of transaction costs", Adv. Futures Opt. Res., 7, 21.
     Howe, M., B. Rustem, and M. J. P. Selby, 1994 "Minimax hedging strategy",
      Computational Economics 7, pp.245-275.
     Kim, K. A., and S. G. Rhee, 1996 "Price limit performance : evidence from Tokyo
      stock exchange", Journal of Finance 52, pp885-901.
     Kodres, L. E., 1993 "Tests of unbiasedness in foreign exchange future markets : an
      examination of price limits and conditional heteroscedasticity", Journal of Business
      66, pp.463-490.
     Leland, H. E., 1985 "Option pricing and replication with transaction costs", Journal of
      Finance 40, pp.1283-1301.
     Mohamed, B., 1994 "Simulation of transaction costs and optimal rehedging", Applied
      Mathematical Finance 1, pp.49-62.
     Robins, R. P. and B. Schachter, 1994 "An analysis of the risk in discretely rebalanced
      option hedges and delta-based techniques", Management Science 40, pp.798-808
     Robins, R. P. and R. W. Sanders, Jr., and B. Schachter, 1996 "An empirical
      investigation of variance reduction through non-delta-neutral hedging", Journal of
      Derivatives, winter, pp.59-69.
     Whalley, A. E. and P. Wilmott, 1993 "Counting the costs", Risk, Oct., pp.59-66.
     Whalley, A. E. and P. Wilmott, 1994 "Hedging with an edge", Risk, Oct.
     Wilmott, P., 1994 "Discrete charms", Risk, Mar., pp.48-51
     Whalley, A. E. and P. Wilmott, 1997 "An asymptotic analysis of an optimal hedging
      model for option pricing with transaction costs", Mathematical Finance 7, pp.307-
      324.
     Yang, S. and B. W. Brorsen, 1995 "Price limits as an explanation of thin-tailedness in
      pork bellies futures prices", Journal of Future Markets 15, pp.45-59.
描述 碩士
國立政治大學
金融研究所
g86352003
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002001426
資料類型 thesis
dc.contributor.advisor 陳威光zh_TW
dc.contributor.advisor Chen, Wei-Kuangen_US
dc.contributor.author (Authors) 吳秉寰zh_TW
dc.contributor.author (Authors) Wu, Alex Bing-Huanen_US
dc.creator (作者) 吳秉寰zh_TW
dc.creator (作者) Wu, Alex Bing-Huanen_US
dc.date (日期) 1998en_US
dc.date.accessioned 22-Apr-2016 10:20:26 (UTC+8)-
dc.date.available 22-Apr-2016 10:20:26 (UTC+8)-
dc.date.issued (上傳時間) 22-Apr-2016 10:20:26 (UTC+8)-
dc.identifier (Other Identifiers) B2002001426en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85938-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融研究所zh_TW
dc.description (描述) g86352003zh_TW
dc.description.abstract (摘要) 本篇論文採用了固定時段避險法，固定避險帶避險法，不足量避險法，Leland（1985）避險法以及Whalley & Wilmott（1993）效用極大避險法，用Monte-Carlo模擬，探討了當券商發行權證時，所面臨的避險組合調整問題。結果發現，在所有的避險策略當中，以Whalley & Wilmott（1993）效用極大避險法的避險績效最好。但是其他的方法，都一致支持保守的避險策略，即多調整避險組合，可以有效提高避險的績效。但是若我們改變交易成本，就會發現隨著交易成本的增加，調整避險組合的次數就要減少，否則過高的交易成本就會抵銷掉避險時的報酬。若我們改變股價的波動度設定，就會發現隨著波動度的增加，調整避險組合的次數也要增加，以免產生過高的避險誤差。此外，在存在漲跌幅限制的假設之下，避險績效都較無漲跌幅限制為佳，因為漲跌幅限制的存在，使得股價波動受到壓縮之故。而在實證資料方面，由於單一條股價不具代表性，因此無法作為有效的解釋。zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002001426en_US
dc.subject (關鍵詞) 認購權證zh_TW
dc.subject (關鍵詞) 選擇權zh_TW
dc.subject (關鍵詞) 避險策略zh_TW
dc.subject (關鍵詞) 避險比率zh_TW
dc.subject (關鍵詞) 最適化zh_TW
dc.subject (關鍵詞) Warranten_US
dc.subject (關鍵詞) Optionen_US
dc.subject (關鍵詞) Hedging Strategyen_US
dc.subject (關鍵詞) Hedge Ratioen_US
dc.subject (關鍵詞) Optimalen_US
dc.title (題名) 認購權證最適避險策略之研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 中文部分
     吳壽山、周賓凰，1996，衡量漲跌幅限制對股票報酬與風險的影響，
      證券市場發展季刊，8：1，pp.1-31
     沈中華、周賓凰，1996，漲跌幅限制下股價的星期效應---Gibbs Sampler
      的應用，經濟論文，25：1，pp.21-44
     陳威光，1997，「認股權之評價」，元大期貨，pp.40-46
     陳松男，1998，「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」，政治大學1998財務工程暨衍生性金融商品
      理論與實務研討會。
     陳松男，1998，「一籃指權證的正確評價及避險方法」，政治大學1998
      財務工程暨衍生性金融商品理論與實務研討會。
     陳威光，1998，「認購權證價格之探討」，元大期貨，pp.57-64
     劉岳玲，1998，「認購權證發行券商避險策略之研究」，中
      山大學未出版論文。
     蔡立光，1998，「台灣市場認購權證定價模型與避險策略之研究」，
      中央大學未出版論文。
     英文部分
     Black, F., and M. Scholes, 1976 "The pricing of options and corporate liabilities",
      Journal of Political Economics 81, pp.637-654
     Boyle, P. P., and D. Emanuel, 1980 "Discretely adjusted option hedge", Journal of
      Financial Economics 8, pp.259-282.
     Boyle, P. P., and T. Vorst, 1992 "Option replication in discrete time with transaction
      costs", Journal of Finance 57, pp.271-293.
     Chen, W. K., 1999 "The valuation and hedging of reset options", 中國財務學會年會
      發表, Apr.
     Chen, W. K., and C. H. Shen, 1999 "the valuation of option when the underlying asset
      prices under price limits", The 7th Conference on Pacific Basin Finance, Economics
      and Accounting , May.
     Davis, M. H.,V. G. Panas, and T. Zariphopoulou, 1993 "European option pricing with
      transaction costs", Journal of Control and Optimization 31, pp.470-493
     Etzioni, S. E., 1986 "Rebalance disciplines for portfolio insurance", Journal of
      Portfolio Management, fall, pp.59-62.
     Garman, M. B., and M. J. Klass, 1980 "On the estimation of security price volatilities
      from historical data", Journal of Businesss, 53.1, pp.67-78.
     Grannan, E. R., and G. H. Swindle, 1996 "Minimizing transaction cost of option
      hedging strategies", Mathematical Finance 6, pp.341-364.
     Hodge, S. D. and A. Neuberger, 1989 "Optimal replication of contingent claims under
      transaction costs", Review of Future Markets 8, pp.222-239
     Hoggard, T., A.E. Whalley, and P. Wilmott, 1994 "Hedging option portfolios in the
      presence of transaction costs", Adv. Futures Opt. Res., 7, 21.
     Howe, M., B. Rustem, and M. J. P. Selby, 1994 "Minimax hedging strategy",
      Computational Economics 7, pp.245-275.
     Kim, K. A., and S. G. Rhee, 1996 "Price limit performance : evidence from Tokyo
      stock exchange", Journal of Finance 52, pp885-901.
     Kodres, L. E., 1993 "Tests of unbiasedness in foreign exchange future markets : an
      examination of price limits and conditional heteroscedasticity", Journal of Business
      66, pp.463-490.
     Leland, H. E., 1985 "Option pricing and replication with transaction costs", Journal of
      Finance 40, pp.1283-1301.
     Mohamed, B., 1994 "Simulation of transaction costs and optimal rehedging", Applied
      Mathematical Finance 1, pp.49-62.
     Robins, R. P. and B. Schachter, 1994 "An analysis of the risk in discretely rebalanced
      option hedges and delta-based techniques", Management Science 40, pp.798-808
     Robins, R. P. and R. W. Sanders, Jr., and B. Schachter, 1996 "An empirical
      investigation of variance reduction through non-delta-neutral hedging", Journal of
      Derivatives, winter, pp.59-69.
     Whalley, A. E. and P. Wilmott, 1993 "Counting the costs", Risk, Oct., pp.59-66.
     Whalley, A. E. and P. Wilmott, 1994 "Hedging with an edge", Risk, Oct.
     Wilmott, P., 1994 "Discrete charms", Risk, Mar., pp.48-51
     Whalley, A. E. and P. Wilmott, 1997 "An asymptotic analysis of an optimal hedging
      model for option pricing with transaction costs", Mathematical Finance 7, pp.307-
      324.
     Yang, S. and B. W. Brorsen, 1995 "Price limits as an explanation of thin-tailedness in
      pork bellies futures prices", Journal of Future Markets 15, pp.45-59.		zh_TW