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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/85925
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85925


    Title: 選擇權靜態避險複製之研究
    Authors: 吳艷琴
    Contributors: 徐燕山
    陳松男

    吳艷琴
    Keywords: 靜態複製
    靜態避險
    新奇選擇權
    界限選擇權
    選擇權避險
    static replication
    static hedging
    exotic option
    barrier option
    Date: 1998
    Issue Date: 2016-04-21 17:05:56 (UTC+8)
    Abstract: 衍生自Black-Scholes選擇權評價公式之動態避險策略,礙於現實世界當中連續避險之不可行,兼之以交易成本之考量,使其在實務運用上困難重重。尤其是在股價波動劇烈之際,動態避險根本無法順利進行。本論文所探討之選擇權靜態複製方式,便是希望克服動態避險連續交易及交易成本之困難。任一選擇權之靜態複製組合乃由同標的之其它選擇權所構成。其於建構完成之後,不需再有其它後續之調整動作,便可複製標的資產於未來一段時間,以及標的資產在某些價位之下的價值,因之稱為"靜態"複製組合
    Reference: 胡世芳、史綱,認股權證投資與發行策略,樂觀文化事業有限公司出版,86年11月初版。
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    楊國輝,台灣香港認購(股)權證發行對股價波動性之影響,國立政治大學金融所碩士論文,87年5月。
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    Description: 碩士
    國立政治大學
    財務管理研究所
    86357003
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002001495
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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