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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: https://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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