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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/35786


    Title: 股權連結結構型商品之評價
    Valuation of Equity-Linkded Structured Note
    Authors: 王瑞元
    Wang, Jui Yuan
    Contributors: 謝明華
    林馨怡

    Hseih, Ming Hua
    Lin, Hsin Yi

    王瑞元
    Wang, Jui Yuan
    Keywords: 結構債
    蒙地卡羅模擬法
    Quanto 模型
    變異數縮減
    Structured Note
    Monte Carlo Simulation
    Quanto Model
    Variance Reduction
    Date: 2008
    Issue Date: 2009-09-18 16:01:57 (UTC+8)
    Abstract: 本文整理市場上已發行結構債的現金流量型式,且利用風險中立評價法推導多資產Quanto模型,並以蒙地卡羅模擬法模擬外幣計價的結構型商品的理論價格,除了計算使用Quanto模型所求得的理論價格外,本文也比較使用Quanto模型與沒有使用Quanto模型評價商品時理論價格的差異,此外也進行商品的利率敏感度分析和相關係數敏感度分析;其後找到有效的控制變數,利用變異數縮減技術克服蒙地卡羅模擬法收斂不易的缺點,增進模擬的效率與精準程度,最後並做變異數縮減的Rubust分析,討論在何種參數的設定下變異數縮減的效果會最好,及如何透過參數的選取,如參與率與保本率,設計商品與成本分析。
    Reference: Baxter, Martin, and Andrew Rennie, 1999. Financial calculus: An introduction to derivative pricing (Cambridge University Press).
    Black, F., and M. Scholes, 1973, The Pricing of Options and Corporate Liabilities, Journal of Political Economy 81, 637.
    Boyle, Phelim, Mark Broadie, and Paul Glasserman, 1997, Monte Carlo methods for security pricing, Journal of Economic Dynamics and Control 21, 1267-1321.
    Boyle, Phelim P., 1977, Options: A Monte Carlo approach, Journal of Financial Economics 4, 323-338.
    Datey, Jean-Yves, Genevieve Gauthier, and Jean-Guy Simonato, 2003, The Performance of Analytical Approximations for the Computation of Asian Quanto-Basket Option Prices, Multinational Finance Journal 7, 55-81.
    Hardy, M., 2003. Investment Guarantees: Modeling and Risk Management for Equity-Linked Life Insurance (Wiley).
    Hardy, M., 2004, Ratchet Equity Indexed Annuities, 14th Annual International AFIR Colloquium.
    Hardy, Mary, 2003. Investment Guarantees:Modeling and Risk Management for Equity-Linked Life Insurance (John Wiley &Sons, Inc.).
    Hsieh, M., and Y. Chiu, 2007, Monte Carlo methods for valuation of ratchet equity indexed annuities, Simulation Conference, 2007 Winter 998-1003.
    Johnson, Herb, 1987, Options on the Maximum or the Minimum of Several Assets, The Journal of Financial and Quantitative Analysis 22, 277-283.
    Kat, Harry M., 2001, Structured Equity Derivatives: The Definitive Guide to Exotic Options and Structured Notes(JOHN WILEY & SONS, LTD).
    Kjaer, Mats, 2006, Fast Pricing of Cliquet Options with Global Floor, Journal of Derivatives 14, 47-60.
    Kwok, Yue-Kuen, and Hoi-Ying Wong, 2000, Currency-Translated Foreign Equity Options with Path Dependent Features and Their Multi-Asset Extensions, International Journal of Theoretical & Applied Finance 3, 257.
    Poitras, Geoffrey, 1998, Spread options, exchange options, and arithmetic Brownian motion, Journal of Futures Markets 18, 487-517.
    Schoutens, Wim, and Stijn Symens, 2003, The Pricing of Exotic Options by Monte Carlo Simulations in A Levy Market With Stichastic Volatility, International Journal of Theoretical & Applied Finance 6, 839.
    Stulz, R. M., 1982, Options on the Minimum or the Maximum of Two Risky Assets: Analysis and Applications, Journal of Financial Economics 10, 161-185.
    Description: 碩士
    國立政治大學
    經濟研究所
    95258037
    97
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0095258037
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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