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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 王之彥 | |
| dc.contributor.author | Hsiao-Chuan Wang | en |
| dc.contributor.author | 王筱娟 | zh_TW |
| dc.date.accessioned | 2021-06-08T04:21:10Z | - |
| dc.date.copyright | 2010-07-22 | |
| dc.date.issued | 2010 | |
| dc.date.submitted | 2010-07-14 | |
| dc.identifier.citation | 1. Black, F., and M. Scholes, 1973, The pricing of options and corporate liabilities, Journal of Political Economy, 81, 637–659.
2. Boyle, P.P., 1977, Options: A Monte Carlo approach, Journal of Financial Eco-nomics, 4, 323-338. 3. Cameron, R. H. and W. T. Martin, 1944, Transformations of Wiener Integrals under Translations, The Annals of Mathematics, 45, 386–396. 4. Cox, J.C. and S.A. Ross, 1976, The valuation of options for alternative stochastic processes, Journal o f Financial Economics, 3, 145-166. 5. Genz, A. 1992, Numerical Computation of Multivariate Normal Probabilities, Journal of Computational and Graphical Statistics, 1, 141–149. 6. Hammersley, J.M. and D.C. Handscomb, 1964, Monte Carlo methods. Methuen, London. 7. Harrison, M. and D. Kreps, 1979, Martingales and Multiperiod Securities Markets, Journal of Economic Theory, 20, 381-408. 8. Johnson, H., 1987, Options on the Maximum or the Minimum of Several Assets, Journal of Financial and Quantitative Analysis, 22, 277–283. 9. Kemna, A. and A. Vorst, 1990, A pricing method for options based on average asset Values, Journal of Banking and Finance, 14, 113–129. 10. Leippold, M. and J. Syz, 2007, Trend derivatives: Pricing, hedging, and application to executive stock options, The Journal of Futures Markets, 27, No. 2, 151-186 11. Margrabe, W., 1978, The value of an option to exchange one asset for another, Journal of Finance, 33, 177–186. 12. Stulz, R., 1982, Options on the minimum or the maximum of two risky assets, anal-ysis and applications, Journal of Financial Economics, 10, 161–185. 13. Wu, X. and J. E. Zhang, 2000, Options on the Minimum or the Maximum of Two Average Prices, Review of Derivatives Research, 3, 183-204. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/22572 | - |
| dc.description.abstract | 這篇論文主要是以Martingale 評價方法來推導多資產趨勢選擇權的封閉解。主要的貢獻在於提供了一個一般化的評價公式，能應用在其他不同種類的加權平均選擇權上。而趨勢選擇權，是由Leippold and Syz (2007) 所提出的一種新型選擇權，此種選擇權的報酬是利用迴歸分析的方式，求出標的物過去已實現的價格趨勢為依據，所以具有避免選擇權在接近到期日時的時間風險。而多資產選擇權則具有投資組合分散風險的效果，所以本篇結合多資產選擇權的性質於趨勢選擇權上，提供一個可能同時具有選時及選股特性的新投資商品之選擇。 | zh_TW |
| dc.description.abstract | This thesis provides a closed-form formula for the rainbow trend options by using the Martingale pricing method. The main contribution of this thesis is to propose a general pricing formula which can be applied to price various kinds of rainbow weighted aver-age options. The trend option is a new exotic option mentioned in Leippold and Syz (2007); its payoff is based on the trend of the realized underlying sampled prices over a specific period such that it has the superiority in avoiding the timing risk. And rainbow options have a known effect on non-system risk diversification. The attractiveness to combine the two features is to satisfy the need of investors for avoiding the timing risk and enjoying the diversification effect simultaneously. Moreover, the remarkable feature that the delta of the rainbow trend option tends to zero at maturity in some special cases is found in this paper. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T04:21:10Z (GMT). No. of bitstreams: 1 ntu-99-R97724067-1.pdf: 892895 bytes, checksum: b76e7e159083f4b81c32c8ee9379b231 (MD5) Previous issue date: 2010 | en |
| dc.description.tableofcontents | 摘要----- -------------------------------------------------I
Abstract---------- ----------------------------------------I Contents-------------------------------------------------II List of Figures-----------------------------------------III List of Tables------------------------------------------ IV Chapter 1 ------------------------------------1 Introduction------------------------------------1 Chapter 2 ------------------------------------2 Valuation of Rainbow Trend Options--------------2 2.1.Settings----------------------------------------------2 2.2.The General Pricing Formula---------------------------3 2.3.Pricing Rainbow Trend Options-------------------------9 Chapter 3 ------------------------------------13 Numerical Results------------------------------13 3.1.Values of Rainbow Simple Trend with Respect to Different Correlations-------------------------------14 3.2.Price Comparison with Other Options------------------15 3.3.Other Characteristics of Rainbow Trend Options-------19 3.4.The Greek Letters of Rainbow Simple Trend Options----22 Chapter 4 Conclusion-------------------------------------30 References-----------------------------------------------31 Appendix ------------------------------------32 A.Derivations of the Correlation ρX,ij, ρY,ij and ρXY,ij -------------------------------------------------------32 B.Derivations of the Pricing Formula---------------------33 | |
| dc.language.iso | en | |
| dc.subject | 風險分散 | zh_TW |
| dc.subject | Martingale | zh_TW |
| dc.subject | 多資產趨勢選擇權 | zh_TW |
| dc.subject | 時間風險 | zh_TW |
| dc.subject | Martingale pricing method | en |
| dc.subject | risk diversification | en |
| dc.subject | timing risk | en |
| dc.subject | rainbow trend option | en |
| dc.title | 多資產趨勢選擇權之評價 | zh_TW |
| dc.title | The Valuation of Rainbow Trend Options | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 98-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 戴天時,郭家豪 | |
| dc.subject.keyword | Martingale,多資產趨勢選擇權,時間風險,風險分散, | zh_TW |
| dc.subject.keyword | Martingale pricing method,rainbow trend option,timing risk,risk diversification, | en |
| dc.relation.page | 39 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2010-07-14 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
| 顯示於系所單位： | 國際企業學系 | |
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