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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/35090


    Title: 隨機利率下，跨通貨投資組合選擇權之定價與避險策略
    Pricing and Hedging Cross-Currency Portfolio Option with Stochastic Interest Rates
    Authors: 王祥安
    Wang , Hsiang-An
    Contributors: 胡聯國
    廖四郎
    Hu, Lien-Kuo
    Liao, Szu-Lang
    王祥安
    Wang , Hsiang-An
    Keywords: 投資組合選擇權
    平賭測度
    遠期平賭
    利率模型
    隨機利率
    Portfolio Option
    Martingale
    Forward Measure Approach
    Interest Rate Models
    Stochastic Interest Rates
    HJM
    Cross Currency
    Date: 2003
    Issue Date: 2009-09-18 14:08:14 (UTC+8)
    Abstract: 在WTO成立，各國國際化程度日益提高的同時，企業與個人進行跨國投資的情形也愈來愈普遍，跨國投資除了要考慮標的資產之報酬與波動性之外，尚須考量匯率變動所產生之風險與不確定性。當某一國外資產具有正向預期報酬率的同時，實現後的報酬率卻又不一定為正，正是因為匯率波動所產生的影響。又，傳統財務理論告訴我們，藉由增加投資組合中所有非完全正相關的資產個數可以有效的降低投資組合的非系統風險，因此投資人在進行投資時往往採用建構投資組合的方式取代持有少數資產的型態。然而，在建構跨通貨避險投資組合時，若是對於投資組合中的各項資產與外幣分別進行避險（分別利用衍生性商品避險），往往是費時、費力又不具有效率。因此，對於整個投資組合進行避險反而是一個比較好的方法，當投資組合價值發生變動時，可以即時對於各項資產部位與外幣分別做調整，遠較於對個別資產進行避險來的方便、快速且有效。
    In most cases, investment is made of building a portfolio rather than single asset. Therefore, it is necessary to develop techniques of valuing portfolio derivatives. Moreover, we consider a cross-currency portfolio that account for currency and interest rate risk. As interest rate is stochastic, we use Heath-Jarrow Morton (HJM) Approach to describe its dynamics. Applying Vorst (1992); Geman, Karoui and Rochet(1995), we derive the approximated close-form of the cross-currency portfolio option.

    In HJM Approach, it is difficult to acquire hedge ratios of options. We apply another method to build a hedging portfolio. Then, we perform numerical simulations to test its hedging efficiency and sensitivity with respect to different variables.
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    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    91351020
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0091351020
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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