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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/87559
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/87559


    Title: 保本信託基金之評價與分析--以怡富日本美元還本收益基金為例
    Valuation and Analysis of Principal Guaranteed Fund--A Case Study on JF Japan Capital Guaranteed Trust
    Authors: 江明鐘
    Chiang, Ming-Chong
    Contributors: 周行一
    陳威光

    Chow, Edward
    Chen, W.K. Paul

    江明鐘
    Chiang, Ming-Chong
    Keywords: 保本基金
    新金融商品
    平均式選擇權
    保本金融商品
    金融商品之評價
    共同基金
    Principal Guaranteed Fund
    financial product
    average-rate option
    principal guaranteed product
    valution of financial product
    mutual fund
    Date: 1995
    Issue Date: 2016-04-28 15:11:19 (UTC+8)
    Abstract: 本研究主要從金融創新的角度分析保本基金之證券設計,並藉由零息債券與指數選擇權兩種投資工具,複製成為具有與保本基金相同到期價值之投資組合,用以評價保本基金,再進一步以該投資組合為基礎,分析保本基金的金融創新價值及基金操作之投資績效。本研究以怡富日本美元還本收益基金為例,提出上述有關保本基金之評價、金融創新價值及投資績效之討論。
    Reference: 一、中文部分:
    1 李存修編著,選擇權之交易實務、投資策略與評價模式,證券暨期貨市場發展基金會,民國82年8月
    2. 李存修編著,金融創新與操作策略,商周文化,民國83年6月
    3 財政部金融局金融法規通函彙編編輯委員會,常用金融法規彙編(第一、二冊) ,第三版,民國83 年修訂
    4 財政部稅制委員會編印,所得稅法彙編,民國83年
    5 財團法人金融人員研究訓練中心,銀行法令彙編,金融研訓叢書之44,民國83 年
    6 陳春山,「設券投資信託保本基金之研究」,台灣證券季刊,48期(民國85年1 月), pp.1-9

    二、英文部分
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    2. Allen, F. & Gale, D., "Financial Innovation and Risk Sharing", Cambridge, MA, MIT Press, 1994.
    3. Bennett, J.A., Chen, A.H. & McGuinness, P., "An Analysis of Capital Guaranteed Funds", International Review of Economics and Finance, Forthcoming.
    4. Black, F. & Scholes, M., "The Pricing of Options and Corporate Liabilities", Journal of Political Economy, May-June 1973, pp.637-654.
    5. Boot, A.W.A. & Thakor, A.V., "Security Design", The Journal of Finance, September 1993, pp.1349-1378.
    6. Boyle, P.P., "Options: A Monte Carlo Approach", Journal of Financial Economics, May 1977, pp.323-338
    7. Chance, D.M. & Broughton,J.B., "Market Index Depository
    Liabilities: Analysis, Interpretation, and Performance", Journal of Financial Services Research, December 1988, pp.335-352.
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    10. Cox,J.C. & Ross, S.A., "The Valuation of Options for Alternative Stochastic Processes", Journal of Financial Economics, 3(1976), pp.145-166.
    11. Cummins, D. & Geman, H., "A Asian Option Approach to the
    Valuation of Insurance Futures Contracts", The Review of Futures Markets, Volume 13, Number 2,1994, pp.517-557.
    12. Curran, M., "Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price", Management Science, Dec 1994, pp.1705-1711.
    13. De, S. & Kale, J.R., "Contingent Payments and Debt Contracts", Financial Management, Summer 1993, pp.l06-122.
    14. Demange, G. & Laroque, G., "Private Information and the Design of Securities", Journal of Economic Theory, February 1995, pp.233-257.
    15. Duffie, D. & Rahi, R., "Financial Market Innovation and Security Design : An Introduction", Journal of Economic Theory, February 1995, pp.1-42.
    16. Dubofsky, D.A., Options and Financial Futures, Valuation and Uses, McGraw-Hall international edition 1992.
    17. Finnerty, J.D., "Interpreting SIGNs", Financial Management, Summer 1993, pp.34-47.
    18. Harris, M. & Raviv, A., "The Design of Securities", Journal of Financial Economics, 24 (1989), pp.255-287.
    19. Haslem, lA., The Investor`s Guide to Mutual Funds, Prentice-Hall, Inc., 1988.
    20. Hull, 1., Options, Futures, and Other Derivative Securities. Englewood Cliffs, N.J. : Prentice-Hall, Inc., 1993.
    2l. Hunter, W. & Stowe, D.W., "Path-Dependent Options", Economic Review[Federal Reserve Band of Atlanta], Mar/Apr 1992, pp.29-34.
    22. Hunter, W. & Stowe, D.W., "Path-Dependent Options: Valuation and Applications" Economic Review[Federal Reserve Band of Atlanta], Jul/Aug 1992, ppJO-43.
    23. Jardine Fleming Management Limited, JF Japan Capital Guaranteed Trust due Apr 10,1997, explanatory memorandum, Mar 20,1994.
    24. Jarrow, R.A. & Rudd, A., Option Pricing, 1983, BARRA and
    University of California-Berkeley.
    25. Jensen, M.C. & Meckling, W.H., "Theory of the Firm : Managerial
    Behavior, Agency Costs, and Ownership Structure", Journal of
    Financial Economics, October 1976, pp.350-360.
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    27. Kemna, A.G.Z. & Vorst, A.C.F. "A pricing Method for Options Based on Average Asset Values", Journal of Banding and Finance, 14(Mar 1990), pp.l13-129.
    28. Levy, E., "Pricing European Average Rate Currency Options", Journal of International Money and Finance, 11(1992), pp.474-491.
    29. Merton, R.C., "Theory of Rational Option Pricing", Bell Journal of Econmics and Management Science, Spring 1973, pp .141-183.
    30. Merton, R.C., "The Financial System and Economic Performance", Journal of Financial Services Research, 1990, pp.263-300.
    3l. Miller, M.H., "Financial Innovation: The Last Twenty Years and the Next", Journal of Financial and Quantitative Analysis, December 1986, pp.460-471.
    32. Leland, H.E., "Option Pricing and Replication with Transactions
    Costs", Journal of Finance, December 1985, pp.1283-1301.
    33. Ritchken, P., Sankarasubramanian, L. & Vijh, A.M., "The luation of Path Dependent Contracts on the Average", Management Science, Vo1.39, No.10, October 1993, pp.1202-1213.
    34. Romer, C.D. & Romer, D.H., "Credit Channel or Credit Action? An Interpretation of the Postwar Transmission Mechanism"
    35. Roth, H., LEAPS(Long-Term Equity Anticipation Securities), Richard D. IRWIN Inc., 1994.
    36. Rubinstein, M. & Leland, H.E., "Replicating Options with Positions in Stock and Cash", Financial Anlysis Journal, July-August 1981, pp.63-72
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    Description: 碩士
    國立政治大學
    金融研究所
    83357008
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002002876
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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