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分離基金內的喊價選擇權評價與避險

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.

Identiferoai:union.ndltd.org:CHENGCHI/A2010000318
Creators簡嘉宏
Publisher國立政治大學
Source SetsNational Chengchi University Libraries
Language中文
Detected LanguageEnglish
Typetext
RightsCopyright © nccu library on behalf of the copyright holders

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