政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/31142

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政大機構典藏 > 商學院 > 金融學系 > 學位論文 > Item 140.119/31142

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/31142

Title:	價差型保本票券及最小值保息連動債券之設計與分析
Authors:	顏含容
Contributors:	陳松男顏含容
Keywords:	連動債券保本彩虹選擇權
Date:	2003
Issue Date:	2009-09-14 09:25:12 (UTC+8)
Abstract:	由於經濟不景氣導致股票報酬率不佳，投資人直接投資股市的意願相對較低，但是若從事低風險的定存投資，所能獲得的報酬率也在低利率趨勢下日漸縮水。在利率走低，股市欲振乏力的情況之下，連結選擇權商品又能保本的連動債券大行其道，成為熱門商品，市場預估這種商品可望有新台幣千億元的市場規模。所謂的連動債券（structure note），是指該債券所支付的本金或利息金額，與某一特定標的資產資產價格或報酬率連動，連動標的資產可以是股票、利率、匯率，甚至是金價之類的商品價格。本篇論文將針對兩種型態的股票型連動債券：價差型保本票券與最小值保息連動債券進行產品分析和拆解，並且以機率平賭方法（Martingale）推導此連動債券價值之封閉解。
Reference:	參考文獻 1. 陳松男，期貨與選擇權：衍生性商品理論與實務， □T民書局，85年5月初版 2. 陳松男，金融工程學：金融商品創新、選擇權理論，華泰文化，91年1月初版 3. 陳威光，選擇權：理論、實務與應用，智勝文化，90年1月初版 4. Margrabe, M., “The Value of An Option to Exchange One Asset For Another,” Journal of Finance, Vol. XXXIII, No. 1, March 1978. 5. Merton, R. C., “The Theory of Rational Option Pricing,” The Bell Journal of Economics and Management Science, Vol. 4(Spring 1973), 141-183. 6. Stulz, R., “Options on the Minimum or the Maximum of Two Risk Assets: Analysis and Applications,” Journal of Financial Economics, 10 (July 1982, 162-182)
Description:	碩士國立政治大學金融研究所 90352014 92
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0090352014
Data Type:	thesis
Appears in Collections:	[金融學系] 學位論文

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