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| 研究生： |
何立凱 Ho, Li-Kai |
|---|---|
| 論文名稱： |
履約價重設對匯率連動賣權之影響 The Impact of Resetting Strike Price on Prices and Risks of Quanto Options |
| 指導教授： |
胡聯國
Hu, Len-Kuo |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 國際經營與貿易學系 Department of International Business |
| 論文出版年： | 2008 |
| 畢業學年度： | 96 |
| 語文別： | 英文 |
| 論文頁數： | 95 |
| 中文關鍵詞： | 匯率連動 、多點重設型賣權 、回顧型賣權 、新奇選擇權 |
| 外文關鍵詞： | Quanto Option, Multiple-reset Option, Lookback Option, Exotic Option |
| 相關次數： | 點閱：99 下載：56 |
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本論文主要結合了「匯率連動選擇權」與「多點重設型選擇權」、「履約價回顧型選擇權」，除了評價與分析四款匯率連動多點重設型賣權以及匯率連動履約價回顧型賣權，並且探討重設點之選擇對於賣權價格之影響，使其理論與模型更為一般化，發行券商或銀行欲發行此類商品時，更能夠依據模型做更進一步之風險控管，藉以降低避險損失。
For the most part, this article combines the quanto option with the multiple-reset put and lookback put. In addition to price and analyze the four specific types of quanto multiple-reset puts and quanto lookback puts, this article also provides a more comprehensive study on how the frequency of resetting in exercise price affects the quanto puts’ price and risk. When issuers issue this kind of financial product, based on the model in this article, they will be able to better control the risk further and secure the investment return by diminishing the loss of hedging.
ABSTRACT I
TABLE OF CONTENT II
CHAPTER 1 INTRODUCTION 1
1.1 MOTIVATION AND OBJECTIVE 1
1.2 FRAMEWORK 2
CHAPTER 2 MODELS AND REFERENCES 3
2.1 BASIC ASSUMPTIONS AND MODELS 3
2.2 MARTINGALE PRICING 5
2.3 GIRSANOLV THEOREM 5
2.4 QUANTO OPTIONS 7
2.5 MULTIPLE-RESET OPTIONS 10
2.6 THE MAXIMUM DISTRIBUTION OF GEOMETRIC BROWNIAN MOTION 13
2.7 LOOKBACK OPTIONS 16
CHAPTER 3 QUANTO MULTIPLE-RESET OPTIONS 18
3.1 FRAMEWORK 18
3.2 PRICE AND RISK ANALYSIS OF TYPE I QUANTO MULTIPLE-RESET OPTION 18
3.2.1 Pricing Model 18
3.2.2 Risk Analysis 23
3.3 PRICE AND RISK ANALYSIS OF TYPE II QUANTO MULTIPLE-RESET OPTION 24
3.3.1 Pricing Model 24
3.3.2 Risk Analysis 29
3.4 PRICE AND RISK ANALYSIS OF TYPE III QUANTO MULTIPLE-RESET OPTION 30
3.4.1 Pricing Model 30
3.4.2 Risk Analysis 35
3.5 PRICE AND RISK ANALYSIS OF TYPE IV QUANTO MULTIPLE-RESET OPTION 36
3.5.1 Pricing Model 36
3.5.2 Risk Analysis 41
CHAPTER 4 QUANTO LOOKBACK OPTIONS 43
4.1 FRAMEWORK 43
4.2 PRICE AND RISK ANALYSIS OF TYPE I QUANTO LOOKBACK OPTION 43
4.2.1 Pricing Model 43
4.2.2 Risk Analysis 46
4.3 PRICE AND RISK ANALYSIS OF TYPE II QUANTO LOOKBACK OPTION 47
4.3.1 Pricing Model 48
4.3.2 Risk Analysis 50
4.4 PRICE AND RISK ANALYSIS OF TYPE III QUANTO LOOKBACK OPTION 52
4.4.1 Pricing Model 52
4.4.2 Risk Analysis 54
4.5 PRICE AND RISK ANALYSIS OF TYPE IV QUANTO LOOKBACK OPTION 56
4.5.1 Pricing Model 56
4.5.2 Risk Analysis 58
CHAPTER 5 CONCLUSIONS 60
APPENDIX A 62
APPENDIX B 73
APPENDIX C 74
APPENDIX D 75
APPENDIX E 85
APPENDIX F 89
APPENDIX G 90
APPENDIX H 91
REFERENCES 95
[1] Chen, S. N. (2005). Financial Engineering(2nd)
[2] Jiang, I. M. (2004). "The Research of Two Kinds of Quanto Financial Instruments." Department of Money and Banking, NCCU
[3] Black, F. and M. Scholes (1973). "The Pricing of Options and Corporate Liabilities." The Journal of Political Economy
[4] Cheng, W.-Y. and S. Zhang (2000). "The analytics of reset options." Journal of Derivatives.
[5] Conze, A. and R. Viswanathan (1991). "Path Dependent Options: The Case of Lookback Options." The Journal of Finance
[6] Garman, M. (1989). "Recollection in Tranquillity." Risk March
[7] Gray, S. F. and R. E. Whaley (1997). "Valuing S&P 500 Bear Market Warrants with a Periodic Reset." Journal of Derivatives.
[8] Gray, S. F. and R. E. Whaley (1999). "Reset put options: Valuation, risk characteristics, and an application." Australian Journal of Management.
[9] Musiela, M. and M. Rutkowski (2004). Martingale Methods in Financial Modeling(2nd), Springer.
[10] Reiner, E. (1992). "Quanto Mechanics." Risk March
[11] Shreve, S. E. (2003). Stochastic Calculus for Finance II -- Continuous-Time Models, Springer.