English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 112721/143689 (78%)
Visitors : 49517132      Online Users : 795
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/86456


    Title: 履約價格可調整之認購權證研究--財務工程之應用
    The research of strike price adjustable warrants - the application of financial engineering
    Authors: 謝文雄
    Hsieh, Wen-Hsiung
    Contributors: 胡聯國
    Hu, Lien-Kuo
    謝文雄
    Hsieh, Wen-Hsiung
    Keywords: 認購權證
    履約價格
    財務工程
    可調整型
    新奇選擇權
    Warrants
    Strike price
    Financial engineering
    Adjustable
    Exotic option
    Date: 1997
    Issue Date: 2016-04-27 11:22:28 (UTC+8)
    Abstract: 自 1997 年 9 月起，證券商開始獲准發行認購權證，由於證券商發行認購權證的時機與選擇標的物之不當，造成許多投資人之虧損，而機構投資人也多採取觀望態度，加上主管機關對於發行者在法令及課稅上的限制，導致整個認購權證市場交易冷清，未能發揮認購權證應有的避險功能。而本文所研究之可調整型(Adjustable)認購權證，是屬於新型的認購權證，此產品可以在契約內容中規定，在認購權證發行之後，若標的物證券之價格在一定期限之內，標的股價跌破原股價的某一比例(h)，可以將履約價格(Strike Price)向下調整某一比例(l)，以避免造成認購權證在剛推出不久，就因為標的物價格大跌，而使得投資人蒙受損失。相較於一般的認購權證，「可調整型」認購權證可以造成投資人獲利機會的保障增加、發行者權利金收益增加，並且因此使得衍生性金融市場更加活絡，造成三贏的局面。
    From September 1997,the SEC permits warrants listing in Taiwan`s security market. Because of the improper issuing timing and inappropriate underlying assets, many investors get great loss in warrant investment. Besides, many other restrictions from the government make the warrants market more inactive, and then the warrants cannot proper the hedging market. Researching the strike price adjustable warrants is this thesis subject. This innovative warrant allows the strike price(K) adjusting to lK(0<l<1), when the price of underlying asset is lower than the barrier(hS). This article studies the pricing model and hedging strategies of adjustable warrants. The pricing of the adjustable warrants uses some option pricing formulae, like the binomial option pricing model、path-dependent options、barrier options. This article uses Matlab language to price the adjustable warrants, and then uses simulation method to discuss the characteristics and the hedging strategies of the adjustable warrants. Following are the results:
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    85351008
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002001908
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2220View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback