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.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0094351016 |
| Creators | 何立凱, Ho, Li-Kai |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 英文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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