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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/3715


    Title: 降低權利金的權證創新，評價及避險
    Other Titles: On Creating, Hedging and Pricing Premium Reducible Warrants
    Authors: 陳松男
    Keywords: Martingale評價;認股權證;買權;變化類型權證;抵付型權證;局部支付型權證;上限型權證;避險
    Martingale pricing;Warrant;Call option;Calls with variations;Deductible calls;Call options with proportional payoff;Capped calls;Hedging
    Date: 2001
    Issue Date: 2007-04-18 16:34:44 (UTC+8)
    Publisher: 臺北市：國立政治大學金融系
    Abstract: 近來有不少券商相繼推出不同新類型的認購權證，其中以可降低權利金的權證很受投資人歡迎。本論文將詳細介紹幾種可降低權利金的簡單新權證，並以Martingale Pricing的方法推導出各種新權證的封閉解評價模型，同時推導出相關的避險參數。本論文的方法可進一步應用於其他可降低權利金的新權證創新，不但投資人受益，發行券商也因新權證評價模型的簡單化以及類似Black-Scholes遇險操作的簡易性，獲得更佳的風險控管，因此可降低避險損失，提升利潤。
    Several security firms have recently issued a variety of new Warrants. Among them, reduced-premium warrants are highly welcomed by investors. In this paper, we introduce in great details several lower-premium new warrants. Each new warrant can be priced by a closed-form solution derived from martingale pricing method, and the related hedge parameters are also derived. The martingale pricing method can be applied to other related new lower premium warrants. The investors will be benefited from the availability of lower-premium warrants in the market. In addition, the issuing security firms can also be benefited from the new warrants closed-form pricing models. The hedge parameters are as simple as those of the Black-Scholes model. As a result, the issuing firms can enjoy better risk control and hence lowering hedging losses and raising profits.
    Description: 核定金額：527000元
    Data Type: report
    Appears in Collections:[金融學系] 國科會研究計畫

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