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政大機構典藏 > 商學院 > 金融學系 > 國科會研究計畫 > Item 140.119/3728

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/3728

Title:	組合型權證的正確評價及避險方法
Authors:	陳松男
Keywords:	避險效果;組合型權證;認股權證;評價模式;歐式選擇權;隱含波動性;沖銷風險 Hedging effectiveness;Warrant;Pricing model;European option;Implied volatility
Date:	2000
Issue Date:	2007-04-18 16:34:52 (UTC+8)
Publisher:	臺北市：國立政治大學金融系
Abstract:	In the paper, we explain the reason why one should not directly apply the Black - Scholes model to pricing and hedging European basket options, nor one should use the Black - Scholes delta for the hedging purpose. We derive analytically an appropriate pricing model for European basket options. At the same time, an appropriate hedging method for the options is also provided. Empirical evidence is performed to support the theoretical claim of the paper. The results of this paper will provide basket option writers the appropriate ways to price and to hedge basket options.
Description:	核定金額：488400元
Data Type:	report
Appears in Collections:	[金融學系] 國科會研究計畫

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