近年來在金融市場上出現了新型的金融衍生性商品，這些衍生性商品相當於一般的共同基金，但是額外鑲嵌了喊價選擇權，可以使投資人在市場表現不理想的時候，還能拿回一部份的本金；而在市場表現良好時，可以重置保本的水準來鎖定既得的利潤。因此新型的這類商品更容易吸引投資人。
分離基金便是這樣的商品，它募集投資大眾的資金進行投資，它不但提供保本的承諾，同時給予隨時重置保本水準的權利。然而，對發行商而言，它的風險相當地高，因此本篇論文將利用Martingale（平賭過程）的方法，針對這類商品鑲嵌的喊價選擇權來進行理論模型的推導、經濟意涵的分析、數值方法的評價，並且提出重要的避險策略。 / In recent years, there have been a lot of derivatives similar with mutual funds which guarantee that not only should investors receive a minimum benefit after a certain period of time, but also be provided with the reset right . Whenever investors reset, they can change a minimum benefit at the higher guarantee level.
Those kinds of funds are known as segregated funds in Canada. This paper develops a pricing model of shout options which are embedded in segregated funds by means of martingale method and it offers a hedge strategy for writers.
| Identifer | oai:union.ndltd.org:CHENGCHI/A2010000318 |
| Creators | 簡嘉宏 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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