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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/7580
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/7580


    Title: 組合型選擇權之評價及其在投資組合避險策略上之應用
    Other Titles: Pricing Basket Option and It's Application to Hedging Strategies of Investment Portfolio
    Authors: 廖四郎;呂桔誠;王昭文
    Keywords: 組合型選擇權;投資組合保險;避險策略;隨機利率;Basket Options;Portfolio Insurance;Hedging Strategies;Stochastic Interest Rates
    Date: 2003-03
    Issue Date: 2008-11-14 12:55:13 (UTC+8)
    Abstract: 本文推導出在隨機利率經濟體系下,無套利條件之組合型選擇權的近似封閉解。而後我們將組合型選擇權之觀點運用於投資組合保險及風險控管上。在法令限制,或者是在資本市場上無法找到符合投資組合需求之契約的情形下,我們提供了一個利用複製組合型賣權來保障投資組合的方法,同時此投資組合亦能滿足投資人最低報酬率的要求。
    This paper presents a no-arbitrage model of closed-form approximation for valuing basket options under a stochastic interest rate economy. Then, we expand this basket-option concept into portfolio insurance and risk management. Under legal constraints or unavailable to find a customized contract in the capital market, we suggest a method of synthetic basket put to insure the investment portfolio which is claimed to match the minimum required rate of return by the investors.
    Relation: 亞太經濟管理評論, 6(2), 1-20
    Data Type: article
    Appears in Collections:[金融學系] 期刊論文

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