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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/61331


    Title: 匯率連動回顧型選擇權
    Other Titles: Quanto Lookback Options
    Authors: 陳松男
    Contributors: 國立政治大學金融系
    Keywords: 新奇選擇權;匯率連動選擇權;回顧型選擇權
    Exotic Option;Quanto Options;Lookback Options
    Date: 2005
    Issue Date: 2013-10-11 17:31:23 (UTC+8)
    Abstract: 針對外國投資人來設計的新金融商品時，首先我們必須考量匯率風險，Reiner
    （1992）說明投資人對他國投資股票時，除了關心外國股價風險外，也關切匯率變
    動的風險，所以他提出了匯率連動選擇權，來規避匯率風險。另外，Conze and
    Viswanathan（1991）提出了回顧型選擇權（Lookback Options），它提供投資人許多
    的好處，例如：回顧型買權提供投資人可以最低價格買進標的股；回顧型賣權提供
    投資人可以最高價格賣出標的股。因此，投資人總是可在回顧型選擇權的到期日，
    以有效期內最低的標的價格買進或最高價格賣出。
    結合上述兩種目的而設計的金融創新商品－匯率連動回顧型選擇權，可提供投
    資人同時對外國股價風險及匯率風險進行避險。不但投資人受益，發行券商或銀行
    不僅可獲得權利金的收入，也因評價模型的簡單化，類似Black-Scholes 模型以及大
    部分的時間可以操作的簡易性避險，獲得風險控管，因此可降低避險損失，提昇利
    潤。
    When investing overseas markets investors are concerned with not only foreign stock
    risk, but also foreign exchange risk. Reiner(1992) proposed quanto options to hedge
    exchange rate risk. Conze and Viswanathan(1991) derived the pricing model of lookback
    options. The lookback put option provides investors the protection against falling prices.
    The holders can always sell the underlying stock at the highest price while the lookback
    call option gives the holders the right to at lowest price. With the lookback options,
    investors can sell at the highest price or buy at the lowest price during the tenor of the
    option.
    This paper attempts to combine the above two important features into a single option
    a quanto lookback option. It provides the investors hedge against not only foreign
    exchange rate, but also falling prices or rising prices. A closed-form pricing model and the
    related hedging parameters are derived. The economic implications of the model is also
    examined. The results of this paper should be useful to financial institutions which try to
    trade and to hedge this type of options.
    Relation: 執行期間：9308-9407
    Data Type: report
    Appears in Collections:[金融學系] 國科會研究計畫

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