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    Title: 匯率連動階梯選擇權之評價與分析
    Authors: 陳柏全
    Contributors: 胡聯國
    陳柏全
    Keywords: 匯率連動
    階梯選擇權
    新奇選擇權
    Date: 2006
    Issue Date: 2009-09-11 17:06:53 (UTC+8)
    Abstract: Eric Reiner(1992)說明投資人於跨國投資時,不僅會考慮外國資產本身的風險,亦會關切匯率風險,因而提出了匯率連動選擇權,可因應投資人的需求作規避與保護。

    階梯選擇權具鎖定曾上漲(下跌)所獲得利潤的特性,可幫助投資人避免
    因為一時的錯誤預期導致錯失買賣時機,大幅損失原有獲利甚至蝕本的窘境,
    只要達成期初設定條件,就能保證部分利潤獲得的保證。

    本論文結合以上兩種選擇權,針對匯率連動階梯選擇權,推導出評價結果以及分析其價格與風險特徵。
    Reference: 陳松男(民國94年),金融工程學:(二版),新陸書局
    李佳憓(2002),“新型匯率連動選擇權之設計與評價”,國立政治大學金融研究所
    姜一銘(2004),“兩種匯率連動金融商品之研究”,國立政治大學金融研究所
    薛兆雯(2002),“匯率連動極大值選擇權”,國立政治大學國際貿易研究所
    鄭鳳銘(2000),“階梯選擇權之評價避險與應用”,國立臺灣大學財務金融學研究所
    Black, F. and M. Scholes(1973), “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy 81, pp637-654.
    Harrision, M. and D. Krep(1979), “Martingales and Arbitrage in Multi-period Securities Markets”, Journal of Economic Theory, 20, pp381-408.
    Harrision, M. and S. Pliska(1981), “Martingales and Stochastic Integrals in the Theory of Continuous Trading”, Stochastic Processes and Their Applications, 11, pp215-271.
    Heynen, R. and H. Kat, “Crossing Barriers”, Over the Rainbow(1995), Chapter 26.
    Karatzas, I. and S. Shreve(1991), “Brownian Motion and Stochastic Calculus”, 2nd Ed, Springer-Varlag.
    Musiela, M. and M. Rutkowski(1997), “Martingale Methods in Financial Modelling”, Springer.
    Reiner, E.(1992), “Quanto Mechanics”, Risk(March).
    Street, A.(1992), “Stuck Up a Ladder”, RISK(52), 43-44.
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    93351038
    95
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093351038
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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